Just encountered a bug where if you choose to exchange your chips for a currency other than caps in the Ultra-Luxe, the chips get taken but you don't get any currency. Exchanging the chips for caps works fine though. Not tried this in another casino yet though. (Going to do that now)

Note: This is with the 1.01 update for the PS3.

Edit: Tried it in The Tops and got NCR currency back for the chips. So, may just be The Ultra-Luxe.