I ran into a similar issue, and wrote a stand-alone function to get around the weird interactions between yasnippet and polymode.
The following function mimics the behaviour of the snippet you tried, prompting first for the header info, which gets inserted at your $1, and then dropping you in the chunck body (your $0):
(defun tws-insert-r-chunk (header)
After some trials on Windows machine, I found this workflow works very well:
Installation for Windows users
Put this in your init.el or .emacs.el file - after ESS code:
(add-to-list 'auto-mode-alist '("\\.Rnw" . poly-noweb+r-mode))
; (add-to-list 'auto-mode-alist '("\\.md" . poly-markdown-mode)...
You need to add poly-noweb+r-mode to auto-mode-alist for Rnw files. You also need to watch for conflicts with ESS. ESS adds its own mode to auto-mode-alist for Rnw files, so you have to wait until after this happens to make sure you over-ride the ESS settings. This is what I have in my .emacs:
(eval-after-load 'ess-site ...
If you have an active R process in your Emacs session, then the knitr-ESS weaver will use that process, as you've noted. That means any objects you create in your R chunks in your Rnw or Rmd document are available for interactive inspection (or even modification, although you most likely wouldn't want to do that) in the R buffer.
The reason I was having this problem is that I didn't have (require 'poly-R) in my init file. I only had (require 'poly-markdown). After adding (require 'poly-R), I can now press Enter within a chunk and it will stay in ess-r-mode.
Unfortunately, it seems like things don't quite work the way you would like them to.
ein:notebook-multilang-mode is simply a major mode. That means a lot of things, but here it basically defines fontification (i.e. "syntax highlighting"). You can see that from the source code, available via help (C-h f ein:notebook-multilang-mode). The docstring for my ...
Installing polymode doesn't automatically install all the related modes that it uses to support different languages. The error message you see, "No such file or directory" "poly-R")" is a clue that the poly-R package doesn't exist on your system, so you need to install is before you can require it.