It's a bit cumbersome, and I think only recently you can make longer dependency chains. It's certainly not automated away with just git commands, but maybe there there is a Gitlab API way. The only way I know is to "edit" the PR (or MR in Gitlab speak) and paste the URL into some "depends on" field, then save.
There are certainly other problems as well, like you might have an MR 1 from feature1 to master, and MR 2 from feature2 to master which in turn depends on MR 1. Most likely your feature2 branch is off your feature1 branch, so it contains feature1's changes when compared to master, and that's what is shown in the Gitlab review UI. This makes reviewing MR 2's changes in parallel to MR 1 frankly impossible.
Having said that, I still think that this would be the right way to organize this kind of work, however Gitlab's execution is not great, unfortunately. Any of this is probably impossible in Github too. I wonder if Gerrit gets this right, I have no experience with it.
edit:
One interesting point of MR dependencies in Gitlab is that I think you can depend on MRs from other projects. This is sometimes useful if you have dependent changes across projects.
I usually just point the target branch of MR 2 to MR 1. After merging MR 1 GitLab automatically change it to the default branch so it's more or less okay.
However this makes updating these MRs very rebase heavy and as said in OP it is hostile to reviewers.
There are certainly other problems as well, like you might have an MR 1 from feature1 to master, and MR 2 from feature2 to master which in turn depends on MR 1. Most likely your feature2 branch is off your feature1 branch, so it contains feature1's changes when compared to master, and that's what is shown in the Gitlab review UI. This makes reviewing MR 2's changes in parallel to MR 1 frankly impossible.
Having said that, I still think that this would be the right way to organize this kind of work, however Gitlab's execution is not great, unfortunately. Any of this is probably impossible in Github too. I wonder if Gerrit gets this right, I have no experience with it.
edit:
One interesting point of MR dependencies in Gitlab is that I think you can depend on MRs from other projects. This is sometimes useful if you have dependent changes across projects.