Actually cutscenes are very good about making sure Sora and the BBS trio always have the Keyblade they are currently equipped with are the ones they use in that cutscene.
The only exceptions are the ending of KH 1 which is only the KK (where the KK was still supposed to be a special key and was needed to close the Door) CGI scenes and the scene before the 1000 heartless battle (which are prerendered and therefore they had to pick only one and they picked KK) BBS cutscenes where characters other than the one you are currently playing as appear (in which case they use their defaults) and theatre mode in KH 2 FM and BBS (where they use defaults even though all of these scenes had different keyblades in game, probably because they didn't want a menu to select keyblades)
Beyond that which are more game mechanics than anyting there's nothing to suggest Keychains aren't canon. In fact Terra and Aqua's Keyblades actually have their default forms changed throughout the story. Once they get Gaia's Bane or Rain Storm, those are the default forms instead of their inital forms. So I'd say they are.