This is correct. My understanding with chains is that the wear particles are very small, giving them (on aggregate) very high surface area. This causes them to oxidize very quickly and so they turn black (Fe3O4).

Inside an engine, on the other hand, there is hopefully very little wearing away of the bearing surfaces due to the relatively pristine environment (significant iron content in the lead is a BAD BAD sign!) So the oil will not be significantly discolored from wear metals, but rather from combustion byproducts and trapped dirt. This is also why timing chains can last indefinitely but drive chains on bicycles and motorcycles wear out so quickly.

Diesel engines are different, again - they deposit lots of soot into the oil. My friend's TDI jetta makes the oil pitch black within a few hundred miles.