While I understand the appeal, I don't see the benefit of such additional functionality out-weighing the effort to implement it, or the complaints it may cause.
Quite frankly, I'm not even certain spoilers are possible in chat. There's already functionality tied to using a mouse-over effect (it highlights all other messages related to the specific conversation).
Spoilers work in questions and answers because they are potentially viewed by thousands of people, over an extended period of time. This means that even if the OP isn't familiar with the spoiler markup syntax, someone who is can come in after the fact and fix it. While this doesn't help anyone who may have seen the spoilers before the spoiler syntax was added, it does prevent this from being an issue for any future visitors.
In chat the burden becomes much more solely on the shoulders of the OP. The only people who can add spoiler markup to a chat message are the author of the message and a moderator (and this isn't properly restricted to just Scifi mods for our chat, either; any SE moderator can edit messages in chat rooms associated with sites they don't moderate).
In many cases, all adding the ability to use spoiler markup in chat would do is give people something more to chastise users who may not be familiar with the markup and don't use it when it might be appropriate).
I must admit: when I use the spoiler markup in questions/answers, I invariably try several combinations of !, > and < until I see the spoiler markup working properly in the preview; I almost never remember the right syntax the first time around, simply because I don't use it very often. This makes it a real possibility that even if we have it in chat, someone will transpose a character, or make a mistake, and inadvertently reveal spoilers they intended to "protect".
The idea of chat is to provide a more "real-time" interaction, to support back-and-forth discussion (even if the "real-time" aspect is often broken by hours in between comments and response). This creates a lot of opportunities for something to be said that would instantly ruin some surprise.
If you want to say something in chat, and know that the person you're actively talking to won't consider it a spoiler, but you're concerned that other people might, you could post the message, give them enough time to read it, and then delete it/edit it.
The safest and best guideline is to simply avoid discussing major spoilers in chat, unless you're in a private chat room. However, I'd say this is more in the lines of courtesy than a "rule".