I mean, it’s pretty likely IMO that they acquired them from playing at the Bellagio. Of course, there could be other explanations, but that’s a bottomless pit of speculation. It’s easier to carry a single chip than $5,000 in cash, so if they’re a regular at the Bellagio and that was the only cash-like form of value they had at the house at the time of the catered event, I think that’s at least a somewhat reasonable thing to do.
I think we’ve reached a pretty solid conclusion here that a third-party recipient of a $5,000 baccarat chip is unlikely to be able to change it for cash without a certain amount of paperwork and/or verification… and any attempts to avoid such things could be illegal, even if the chips could have been changed for cash relatively easily. Furthermore, there’s some evidence that it may not be redeemable for cash at all… and considering the best-case and worst-case scenarios here are (respectively) $10,000 or $0.00, it makes trying to cash these chips as if they were your own from casino play a somewhat risky proposition.
One workaround that I don’t think anyone has mentioned… does the millionaire client have a host or someone at Bellagio who could facilitate cashing of these chips? At least the source of the chips would be clear at that point, instead of coming in cold with $5,000 chips from an unknown origin.