You need to set a Support Depth of at least 1 for allow the chunks to not break free from each other until they receive enough damage to do so.
If you’re using UE4 to make your Destructible then you only need to set Support Depth to 1. If you’re using Nvidia’s PhysXLab to make your DM and you have more than a single destruction depth you can user higher values to set how your support works.