By "nervous", do you mean that you suspect/worry that it may be possible to "prove" false theorems via transfinite induction?
But in any case, high (official tournament) level chess games are usually subject to explicit ceiling rules (e.g., a stalemate is declared if neither side captures in pieces in a sequence of N consecutive moves, where N is usuallyl something like 50 or a 100), in addition to the implicit limits imposed by practical realities like finite human or cosmic lifetimes.
In any case, if the only escape from Zermelo's theorem in chess were to play a game with a transfinite number of moves, it would make chess less, not more, interesting I'd think.
-Ww