Don't worry...it's not only your problem!
I've been trying for almost a week to set gnochm as the default app for opening chm files but i'm facing the same problem with you.
I've tried to create my own mime type or use the default 'application/x-chm' but everytime i double click on a chm file, i get the same message as you do...
It must be a bug, i can't explain it....