If you are using or plan to use the AD5415 12-bit DAC chip in a daisy-chain configuration, you need to read page 20 of the marked up data sheet attached. If you are using the SDO output of even a single AD5415, then you also need to see the erratum marked up on that same page.
Yes, you are right. When the user selects the option of disabling the SDO pin, the daisychain mode is also disabled. This is an issue when the part is in a daisy chain and it is not the first part in the chain. As you explained, the part goes into standalone mode and expects the first SYNC pulse to contain its data, which is not the case.
The datasheet will be edited to highlight this, so it will prevent users from spending time on analizing the part's behaviour for this specific conditions.