It's not chrome- it's a stainless steel shell over a steel core. They do it so your lug nuts don't rust on the outside.
If they were chrome plated steel, eventually the chrome gets damaged and the steel underneath rusts and runs down onto your wheels. If the lug nut was all stainless- it'd gall the threads.
I also maintain they do NOT "swell" but are progressively damaged by people using the wrong sized sockets. I have used stock Ford lugs for decades and nearly a million miles of driving on a dozen vehicles in crap salt belt weather, with no "swelling" issues whatsoever. You have to use a tight fitting socket every single time.