I had to find the damn chuck key first, to change the drill bit out, to let me drill the hole in the chuck key, so I could attach the chuck key to the lanyard holder, so I wouldn't lose the chuck key again... All in, it was a 20 minute search for a 30 second operation but that says more about me than it does about the project...
The retention while using it would make me hate this personally, but at least you won't lose it now.
It's not really noticeable imo.
I think it would depend on how close to the chuck it is. Way better than keeping it in my pocket and then finding it when I'm folding laundry though....