Unfortunately we have to confirm that Virtual Appliance 2.0 based on Ubuntu 10.04 LTS (which is in production now) does NOT support chaining of ICAP services. This is dues to the fact that OS comes with Squid 3.0 be default where ICAP chaining is not implemented.
The bug is http://issues.quintolabs.com/trac/quintolabs_qlicap/ticket/287. For now the only solution is to stick with current 1.4.2 VA which is build on Debian 6 with Squid 3.1 and supported ICAP chaining. The VA with freshly released Ubuntu 12.04 LTS will be prepared in the 2.1 release time frame.
BTW the install on real hardware with e.g. CentOS/RedHat 6 has Squid 3.1 in it so it works nicely with chained ICAP services, for an example of setup see a short HOWTO at https://groups.google.com/d/msg/quintolabs-content-security-for-squid-proxy/qUC8J1jxgNs/7VWcUWKix6QJ.