I reply myself… lol
Now I understood the trick. It cannot be chained if the target don't destroy your monsters immediately but only after any other action or cost. It can't counter judgement of Anubis.
Why wasn't I asked to activate this when pegasus flipped Judgment of Anubis? It was on the field for a long time and I had a cards to discard. It sucks cause I took it specifically for Judgement of Anubis...