The significance of keychains is that it allows to upgrade a Keyblade into different Keyblades. It also a reference to their Keyblade appearances and their names. There have been many discussions on keychains about TAV, MX and Vanitas as when they first appeared in the KH2FM secret ending, TAV Keyblades doesn't have any keychains onto it as MX and Vanitas had them on their Keyblades.
This led to many theories and speculations on TAV Keyblades are fake, as they didn't have keychains on them but this disapproves as scans of BBS, gameplays and artwork shows that TAV does have keychains on their Keyblades since Nomura ret-con all their Keyblades' design and had keychains attached to them.