First, keep in mind an AFCI receptacle at the first outlet will not satisfy any legal obligations to fit a GFCI (we discuss that extensively here). However if AFCI is optional for you, then they don't care where you put an AFCI.
As you already know, there is nothing horrible about connecting a GFCI's LINE terminals to the LOAD output of another GFCI. It's merely rather bad form; you are playing a "Yo Dawg" joke on yourself, and this will give you or the subsequent owner fits when they go to reset it. (the GFCI won't reset. You will have to somehow find the other GFCI, reset that, then finally this GFCI will reset. It's a bad scene all around, that ends with many homeowners becoming driven to call an electrician to sort it out, and then paying $150 for information alone.
The right answer is to remove that entirely useless outdoor GFCI receptacle, put a plain receptacle in its place, and then label it (mandatory)
GFCI Protected and (optional)
Reset at ___.
The GFCI recep can then be re-tasked to protect a circuit that currently has no protection at all.