But then, Markov Chains fall apart when the source material is very large. Try training a chain based on Wikipedia. You'll find that the resulting output becomes incoherent garbage. Increasing the context length may increase coherence, but at the cost of turning into just simple regurgitation.
In addition to the "attention" mechanism that another commenter mentioned, it's important to note that Markov Chains are discrete in their next token prediction while an LLM is more fuzzy. LLMs have latent space where the meaning of a word basically exists as a vector. LLMs will generate token sequences that didn't exist in the source material, whereas Markov Chains will ONLY generate sequences that existed in the source.
This is why it's impossible to create a digital assistant, or really anything useful, via Markov Chain. The fact that they only generate sequences that existed in the source mean that it will never come up with anything creative.