Ironically the chain is fine until it rusts. The coconut hair is fine, till they pee in it and I'm not sure they would use it. Fleece strips or small blankies made from fleece would be warmer. And will wash up.
The coconut is safe, the rope in it isn't. You can replace it with long strips of fleece.
The bridge same thing. It looks like bamboo which is safe, but rope should be replaced with fleece strips.