The leader of the replicants was standing in the elevator with Sebastian (a Tyrell's employee). They were going to pay Tyrell a visit. Tyrell asked what does he (Sebastian) need? Then Sebastian uttered his move in their chess game. Tyrell makes his move, Sebastian makes his and it is checkmate.
So how Tyrell, who is a chess genius, could not see that there was a checkmate in two moves?
Summary:
Yes, he probably should have seen it coming. But, it was a good plot device to highlight Roy's mental superiority.
Detailed:
It's worth pointing out that, although Ridley Scott denied it was intentional, this game uses the conclusion of the Immortal Game:
The Immortal Game is a chess game played by Adolf Anderssen and Lionel Kieseritzky on 21 June 1851 in London, during a break of the first international tournament. The bold sacrifices made by Anderssen to secure victory have made it one of the most famous chess games of all time. Anderssen gave up both rooks and a bishop, then his queen, checkmating his opponent with his three remaining minor pieces. The game has been called an achievement "perhaps unparalleled in chess literature".
So for a start - the ending of this game is based on real events (although the pieces in that game were laid out slightly differently). That doesn't mean to say though that Tyrell shouldn't have seen it coming. Even in the Immortal Game, when defeat was near, it was obvious to both players. I suspect here it has been left out for dramatic effect.
Secondly, it's far more important as a thematic plot device. Remember, although computers had beaten humans at chess, it had never happened to the highest ranking players. As this link shows, "chess computers were first able to beat strong chess players in the late 1980s."
This film, released in 1982, was obviously much earlier than that. So here we see Tyrell, a genius and the creator of the replicants, has been beaten not just by a machine, but a machine he created.
When Tyrell is then killed, the ultimate superiority of the replicant over the man is complete.
This link has a nice description of these themes, highlighting the fact the game is based off The Immortal Game stating:
The concept of immortality has obvious associations in the ensuing confrontation between Tyrell and Batty. On one level, the game represents the struggle of the replicants against the humans: the humans consider the replicants pawns, to be removed one by one. The individual replicants (pawns) are attempting to become immortal (a queen). At another level, the game between Tyrell and Sebastian represents Batty stalking Tyrell. Tyrell makes a fatal mistake in the chess game, and another fatal mistake trying to reason with Batty.
The Blade Runner Wiki also has this to add:
This is a theme subtly reiterated by the chess game between J.F. Sebastian and Tyrell based on the famous Immortal Game of 1851 symbolizing the struggle against mortality imposed by God. The Blade Runner FAQ offers further interpretation of the chess game, saying that it "represents the struggle of the replicants against the humans: the humans consider the replicants pawns, to be removed one by one. The individual replicants (pawns) are attempting to become immortal (a queen). At another level, the game between Tyrell and Sebastian represents Batty stalking Tyrell. Tyrell makes a fatal mistake in the chess game, and another fatal mistake trying to reason with Batty."
To conclude, I agree Tyrell really should have seen the move coming, particularly if his chess is as proficient as it appears. Any simple browsing of chess rankings shows that at higher levels, the ability of players is staggering and the statistical probability of their victory, or at least their understanding of the game, is colossal. so I agree with you that Tyrell should have seen the move.
But, as a thematic plot device, it worked well to have him be completely clueless and appear so inferior to his own creation.
Edit
William M. Kolb, in his ‘Blade Runner Film Notes’ (pp. 165-166), observes that Sebastian is scripted in the film as a chess grandmaster, and that this both highlights Tyrell’s genius and elevates Roy to an altogether new level of intelligence. However, all three players act in a manner that is thoroughly inconsistent with this portrayal.
The link goes on to in detail describe what each of the three characters - Tyrell, Sebastian and Roy were likely thinking and the meaning behind their moves. Very interesting and well worth reading.
Edit 2
Just to confirm the scene: Sebastian and Tyrell are playing. Sebastian is a grand master and has never beaten Tyrell. Roy whispers in Sebastian's ear how to win (as per the script):
Sebastian: Queen to Bishop 6. Check.
Tyrell: Nonsense. Just a moment. Mmm. Queen to Bishop 6. Ridiculous. Queen to Bishop 6. Hmm... Knight takes Queen. -- What's on your mind Sebastian? What are you thinking about.
Roy: (whispered) Bishop to King 7. Checkmate.
Sebastian: Bishop to King 7. Checkmate, I think.
Tyrell: Got a brainstorm, huh, Sebastian? Milk and cookies kept you awake, huh? Lets discuss this. You better come up, Sebastian.
BATTY: Is he good?
SEBASTIAN: Who?
BATTY: Your opponent.
SEBASTIAN: Dr. Tyrell.... More than brilliant. He's a genius.
The point isn't that Tyrell doesn't see it coming, it's that Sebastian DOES (or actually Batty). Sebastian is depicted as being smart with his genetic toys (and a grandmaster according to Andew Martin's answer). But he isn't as smart as Tyrell, who HE describes as a genius.
As we see the scenario is that Tyrell makes his move, then Sebastian spends hours/days/weeks making his next one (at home). When he studies Sebastian's move, Tyrell immediately realises that something is different, and allows Sebastian to come in.
TYRELL: Check....nonsense! Wait a minute! Wait a minute!
Tyrell is frowning, gets out of bed and walks to his board.
TYRELL: Ridiculous. Knight takes Queen. Ha! Tell him to go home.
Tyrell smirks.
SPEAKER: Bishop to King Seven. Mate!
Tyrell has been toying with Sebastian due to his hubris, he makes an instant response rather than taking time to consider. This shows he considers himself superior to Sebastian.
