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An expression is made of an operator and a sequence of expressions as in

sage: var('x,y,z')
sage: E = x + y + z
sage: E.operator()
<function operator.add>
sage: E.operands()
[x, y, z]

Now, x < y < z is just a writing convention: it is equivalent to neither (x < y) < z or x < (y < z). It hence does not make sense to consider it as an expression from the computer point of vue. But, you are right when we write such thing in math we would like (x < y) AND (y < z) which should be a valid expression. But it seems that Sage does not support the logical and as an expression... this is a pitty !