But you are aware and know that you have to reapply KY every time you want to deal with some ... em... tight situations. And after you're done, you intentionally wash it off, because you don't want those places to be lubricated during non-active times.

But a bike chain is a thing that you want lubricated for a long time, and not have to think about lube every time you want to use it (well.. in a normal, bike-driving way). Is it still lubed? Did it rain the last time you drove a bike? When was the last time you lubed it? Some other lubricant would last much longer and lubricate much better, and with a bike chain, lasting many months is good thing.

That's why we have and use different kind of lubricants for different things, and WD40 is not a "good choice" for most of the stuff some people use it for (like bike chains... or anal).