I would be stunned if TSA in Las Vegas believed that chips could not be removed from casinos. Had the chips been confiscated, there would have been a notice placed in the luggage about the appeal process. This sounds like pure theft, which should be reported to TSA and the police.

As for insurance, it is natural to not have yet cataloged items acquired at a convention. It occurs to me that it would be useful in the future to or take pictures of your checked-luggage items while still at the hotel (maybe on the hotel's bedspread) "just in case." A camera phone or a regular camera may go a long way toward proving you owned the items, since your normal witnesses (people in your household) will not have had a chance to see them yet.

I don't check chips or coins because they weigh so much and it counts against the weight limit.