They play with the chains by chewing on them, lifting them with their noses, etc. The chain is of a pretty thick gauge and is usually attached to the side of the pen, so I wouldn't worry so much about the foreign body aspect of things.
I will say, though, that even when we provide our pigs with toys, they get over them pretty quickly. You'd need to keep rotating in novel objects if you really wanted the pig to benefit.
Edit: Just realized they mentioned the novelty aspect at the end of the article.
