That comes down to collocations, I suppose. Some words gravitate towards others. 'Lesser evil' is very a strong collocation and just something that you need to memorise. And in fact the first two imply a comparison of two (or more) things (the '-er' part is the comparative). We often talk about the lesser of two evils, for instance. A smaller mistake implies the existence of another larger mistake. But 'less chance' is rating a likelihood of something happening. So it's not really quite the same as the first two - it's not directly comparing two 'chances'. There is a scale involved. The probability is lower.

The meaning is very similar but not identical. There are subtle semantic distinctions betwen these three words, that can be a big deal in some sentences, but negligible in others.

"Less" is not a synonym of the other two. "Small" and "less" are fundamentally different. "Less" works with "uncountable" nouns, whereas "small" works with "countable" ones. Since "evil" is uncountable, it works better with "less". Since "mistake" is countable, it works better with "small". It would not be a grammatical mistake to reverse these, but it sounds better to do it this way. The rules that divide words into these two categories are not ironclad. For instance, you can think of "evil" as countable too. It's just a question of usage. More often than not, we treat "evil" as uncountable.