Conceptual dependencies (CDs) are particular kinds of key dependencies (KDs) and inclusion dependencies (IDs) that precisely characterize relational schemata modeled according to the main features of the Entity-Relationship (ER) model. An instance for such a schema may be inconsistent (data violate the dependencies) and incomplete (data constitute a piece of correct information, but not necessarily all the relevant information). While undecidable under general KDs and IDs, query answering under incomplete data is known to be decidable for CDs. The known techniques are based on the chase -- a special instance, organized in levels of depth, that is a representative of all the instances that satisfy the dependencies and that include the initial instance. Although the chase generally has infinite size, query answering can be addressed by posing the query (or a rewriting thereof) on a finite, initial part of the chase. Contrary to previous claims, we show that the maximum level of such an initial part cannot be bounded by a constant that does not depend on the size of the initial instance.