Functions of infinity are not always infinite. The most famous example of this is Gabriel's Horn, which is a geometric shape that has infinite surface area, but finite volume.
But a limit is most certainly not finite. The entire purpose behind the concept of limits is to allow us to approximate that which cannot be exactly calculated, e.g., infinity.
Gabriel's horn is just a different type of infinity in that the volume portion deals with a converging infinite limit instead of a diverging (like the surface area).
Another thing to consider is that, to produce a game, we must have two chessplaying monkeys paired with each other. You could have half of the infinite monkeys playing legally but none of the pairs produce a legal game. With a small portion of the monkeys playing chess, it is very likely that most will be assigned to a non-chessplaying monkey.
Then again, this assumes that a monkey is either going to play chess or it isn't, which is probably an oversimplification. There could be a pair of monkeys which legally move a piece in turn although they do lots of other stuff not on the chessboard in the meantime. You could also increase the number of games by considering only legal moves, so if a monkey moves the e pawn to c6 and then to e4, the c6 move would be ignored and the e4 move recorded.