The casino would not give you hassle if you 'bought'/won the chips. If the denom falls above the limit at which they start keeping checks then they know you have it.
The problem comes when Paul owes you $1000 and asks if you will take the chip as payment. You say ok as you happen to be going there tonite. When you go to cash it they ask you where you won it. You tell them Paul gave it to you and they refuse to cash it Thats apparently what happened at the MGM.

A casino exec like Gene will no doubt come along and correct me here, but I would have thought a casino denying payment on a large chip is more a safeguard against that chip having been 'stolen' for example somewhere along the line, rather than it just changing hands legitimately along the line.

I would think it also makes a difference if the customer is known to the casino.
I could walk into the Victoria Casino in London and buy a £25,000 chip ($50k), take it home and scan it. When I go to cash it they wouldn't bat an eyelid. If I gave it to you to cash I would think you'd have problems.

Limits are also going to vary from casino to casino. Small places could keep an eye on $100 chips upwards. The Bellagio & MGM would probably not be bothered about chips below $5k.

All this is just one of the reasons for RFID chips. They can be 'tagged' to a player. Of course the same scenario will arise if and when someone uses chips to 'settle a debt'. Of course the casinos are well within their rights not to cash any chips where ownership cant be evidenced, as use of chips for anything other than gaming purposes, or use outside the establishment for which they were issued is a no no