You make me laugh!
Chivalry does work!
When Pumprincess is destroyed by your monster, Her effect activates to send her to spell zone.
When you use Chivalry, Your trap resolves!
You negate Pumprincess from going to the spell zone the "first time".
Than Chivalry destroys her again!
Than Pumprincess effect activates again!
Than she goes to the spell zone the second time!
So you see?
Chivalry is working fine!
You stopped her the first time!
You made her go the second time!
You made your opponent sweat!
They almost thought she wasn't going to the spell & trap zone!
It was a good bluff by you!