This depends on the casino where you are playing. There are casinos that belong to the same family and allow this practice. However, there are some casinos that are very strict with their chip policies. One reason is because exchanging the chips with the casino where you got them from requires additional time and manpower.
Another important reason is that casinos want to track how much their players are winning, and they do this whenever chips are cashed in. Allowing their players to cash in their chips in other casinos will make tracking a lot more complicated. If, for some reason, you are planning to cash in your chips in a casino other than where you won them from, it will be better to ask the staff first to avoid any inconvenience.
Another important reason is that casinos want to track how much their players are winning, and they do this whenever chips are cashed in. Allowing their players to cash in their chips in other casinos will make tracking a lot more complicated. If, for some reason, you are planning to cash in your chips in a casino other than where you won them from, it will be better to ask the staff first to avoid any inconvenience.