As another commenter pointed out [0] this feature existed since 1.4 [1].
Also, I don't understand why so many people seem to be so confused/surprised by it. I can't be 100% sure because it was a long time ago, but I think that a lot of tutorials/introductory articles mention it. Like, "Hey, did you know that Python has this cool syntaxic sugar for this thing? Fascinating!". I think that I learned about chained comparisons long before I wrote my first line of Python.
[0] https://news.ycombinator.com/item?id=42038451
[1] https://docs.python.org/release/1.4/tut/node40.html#SECTION0...