Chapter breaks are a meta-aspect not in the story itself. If it were a continual story this might make sense. Dramatic pacing of the story elements with a bad ending wouldn't be an in universe lesson but an out of universe lesson. Also, I suspect that Eliezer is smart enough to realize that having a downer ending would likely turn off a lot of people to rationality who might otherwise be take some interest in it simply from the halo effect. Having a downer ending would substantially undermine that.