How to daisy chain SWD Debug port
How can I daisy chain these mcu's?
  MCU: STM32F407VG
  Debug protocol: SWD


These MCUs support JTAG and SWD. While JTAG supports a daisy chain configuration, SWD does not. There is a multi drop extension in SWD 2.0 protocol, but I am pretty sure your MCU does not implement this. 

If you really want to debug multiple chips in a daisy chain, use JTAG. Beware: Tool configuration(s) may be non-trivial to do.

Note that you might want to separate a firmware update from your debugging scenario. Firmware updates can be done in multiple ways using a bootloader, so SWD or JTAG is not required in this case.