Put the background image or film in the top lane and the P.I.P.s in the further lanes. For each P.I.P, resize and reposition , the with chromakey, select black to be hidden and put the threshhold near 100%.
With that, you can place as many P.I.P.s as you like.
I have never had to use Chroma key for PIP. The background image/video goes in track 1 and the smaller images/video in the higher number tracks with their size and position altered to place them where I want.
Anything in a higher track number overlays the lower track numbers.
Using chroma key on an image which is to be a PIP will make any black parts transparent and the background image will show through as shown below