Keychain figures are exactly the same as any other Playmobil figure.
The chain is easy to remove but it will of course leave a hole in the hairpiece (and hat, if there is one). This is easily fixed by giving the figure a new hairpiece and/or hat.
To remove the chain, just hold the figure's body with one hand and hold on to the small ring closest to the head with your other hand. Then all you need do is twist the metal part slowly out of the head. (I can't remember if you do this clockwise or anti-clockwise because it's a while since I de-chained one.
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It's very unlikely you will damage the figure by doing this, as the chain is only attached to the head and hairpiece.