A Milestone! and a question...

I've finished the center panel of the large leaf and trellis rectangle on p. 54. Woohoo! Now I'm ready to start my first knitted-on border, and I'm mildly puzzled by the directions.

I get the lace cast-on part - I'm doing the crochet chain version - but shouldn't there be a setup row? I'm trying to imagine what happens when I finally finish the border and unzip the crochet chain to graft the ends together...I'm concerned there will be no there there, if you know what I mean. ;-}

Any advice from more experienced hands would be much appreciated.