I've read changing this could break the chain, not sure if that's still true.
It's partially true - it does not break the chain by itselfm however requires you to do so to make the new settings effective.
Is there any value in changing the storage optimization to WAN?
Storage optimization to WAN would give you a better dedupe ratio, allowing you to reduce the amount of traffic over WAN with backup job. In your case it is backup copy job over WAN and backups have been already deduped by the primary job thus the amount of traffic won't change significantly. In other words, yes, it can improve dedup ability of the primary storage for the backup and won't affect the DD's dedupe, however can affect the performance of the latter during restores.