Seems to be working fine here. This is my Chex Quest.doom file contents.
parentwad "DOOM.WAD"
wadfile_1 "CHEX.WAD"
wadfile_2 ""
wadfile_3 ""
wadfile_4 ""
wadfile_5 ""
wadfile_6 ""
wadfile_7 ""
wadfile_8 ""
dehfile_1 ""
dehfile_2 ""
Make sure you have a valid Doom and Chex Quest .WAD file within a .Chex Quest folder.