I think I understand why it works this way too. If you search _channels_, then the search will show the messages with that word but link you to the entire conversation that message appears in. But for chats, each individual message is basically treated like it's own conversation and thus search only displays the single message with no context.
A quick Google suggests I'm not alone in this criticism, and it's been a problem for even longer than I've been using Teams (a year or two): https://techcommunity.microsoft.com/t5/microsoft-teams/teams...