I've only knit with chenille once, but I liked it! I used it for a scarf. It doesn't shed, but the scarf itself (not knit with a nice chenille, mind you!) has...flattened. I don't know how else to describe what's happend to the fluff. It's just de-fluffed. But the yarn was Red Heart, so I got what I paid for! The scarf is still very soft, though, and I wore it all winter. (It has sentimental value, too, since it was the first thing I ever knit for myself!)
I didn't have a problem with breakage or snapping, though, even with the cheap yarn I used. You seem to have purchased a decent yarn, so hopefully it will work just fine!