I actually read some girlie mags for the stories growing up...this was probably in Playboy, with a lower chance of it being from Penthouse. A Soviet apparatchik has commissioned a ceremonial chess set in honor of some anniversary or perhaps a gift to a leader who likes chess, with one side carved as various proletarians/revolutionaries, the other as various capitalists (not sure if they were red/white, which would make some ideological sense, or some other color pairing). But then he discovers that the capitalist side wins every time, no matter who is playing, even switching players. He suspects the artisan of counter-revolutionary plotting, perhaps putting a mind-fogging chemical on the other pieces. He can find no trace, but after repeated trials he is firm in his conclusion, and has the artisan executed, to his shock. He then plays one last time and finds the first side wins, and it ends with some line like "in the end, the chess pieces won."
Not Playboy, not Penthouse, but Penthouse's sister magazine Omni:
"The Chessmen", a short story by William G. Shepherd in Omni, November 1978, reprinted in The Best of Omni Science Fiction No. 2 edited by Ben Bova and Don Myrus. That anthology is available at the Internet Archive; Shepherd's story "The Chessmen" is also available from William Flew.
"Comrade? You have tried them?"
"Donovich, this box is identified only as entry K2726 in our contest. What is the name of the man or woman who made them? The address?"
"Yes, yes. Dosiev, here, has it. Stop shaking, man, and give me the card with the name. Here you are, Comrades. One Alexovich Tomov, Woolen Mill, Rybinskh. You—confirmed my feelings?"
"Tomov, Alexovich, Woolen Mill, Rybinskh. Comrade Donovich, this chess set has been played in exactly sixty-seven engagements. Five of the best players in Moscow have used these pieces, varying possession of the People's men and the enemy men."
"And the results, Comrade Krakov?"
"As you know, Comrade."
"The reason, Comrade, have you learned that?"
"We have! Or we have strong suspicions. Each player who used the proletarian pieces experienced a drowsiness as he played. There is evidence that these pieces are treated in some way, probably in the paint or dye, to produce this effect in the handling of the pieces. Very probably these chessmen are the agency of an imperialist design to create uncertainty and fear in our glorious People's Republic.