The idea of the chains is to catch the trailer if it comes off the ball. The crossed chains cradle the tongue and keep it from digging into the pavement. If a trailer came off the ball and the tongue started dragging on the pavement, think of what would happen if it dropped in a pothole or hung up on an expansion joint, road patch, etc., you would likely lose control of the rig.
Chains should be of the proper length and crossed so that they will catch the tongue and keep it off the pavement if the trailer becomes disconnected. Makes no difference if you are running a WD hitch or not.
Since receivers are bolted/welded to the truck frame, most add connection points for safety chains as a matter of convenience. If you feel better attaching them directly to the truck, and have adequate spots to do so, then go ahead, but still cross them as described.
If the trailer breaks loose entirely, the breakaway switch will apply the brakes and stop a runaway.