Rusty....

Yes it is magnetite.... a similar process of using super heated steam on hot iron will "blue" the surface... which is what is done to preserve the metal in steel girders used for construction.... also magnetite.
I know that I dont know it all, so I cant argue this... but I want to know it all, so in my quest to learn more I must ask the question, where and how is this process you speak of completed?... is it something that is done by somebody or some company after it leaves the steel mill?
I have been working with steel, steel beam/girders, bridges and high rise building construction most of my working life and have never heard of it before. galvanize or paint is the usual and most common protection for steel against the elements.
rust is NOT magnetite, but is iron oxide.... magnetite is just one of the minerals that Iron is made from, (actually a form of iron in its natural state) and the steel used in construction is the iron that has been alloyed with other minerals, but magnetite is not added back in.
it is correct that new steel is blue, but this blueing is in no way a purposeful intent, but a by product of the heat needed to form it to shape as it passes thru the rolling mill. the blue is commonly called "mill scale" and when a rust protection coating is needed, the blue mill scale has to either be sandblasted off or chemically removed so the coating will adhere to the bare metal without scaling/flaking off...
sometimes (almost always) the smaller metal shapes will be sprayed with a very light coat of vegetable oil as it leaves the mill for immediate rust protection, but this process makes the metal look almost black....
to answer the OP's question, no matter what you use to remove the rust will also inadvertently remove some of the galvanizing that may be on the chain... the quickest and easiest way to remove the rust is to soak the chain in a strong acid overnight, as it will remove ALL the rust on the chain. then rinse it very well.
the real challenge is how to keep it from rusting again after removing the rust....
the easiest to obtain "strong" acid is muratic acid which is sold anywhere concrete supplies/products are sold.... home depot, lowes, ect...