Good question. A bitcoin wallet is defined by a public/private key pair (a couple of big unguessable numbers). The public key (actually a hash of it) is used to identify the wallet in the blockchain, the private key is used to sign transactions from the wallet (when you spend the money). The private key needs to be kept absolutely secret by the user; the famous hacks where people have all their bitcoins stolen is a result of the private key being copied by the thief.
When somebody makes a physical bitcoin, they generate a wallet as normal on a computer and send some amount to it (the face value of the coin). They then print the private key of the wallet on a piece of paper (usually as a QR code) and seal that in the coin. The public key hash is usually printed on the coin.
When you want to spend the coin, you break it open and scan the code. If you want to check that the coin has its face value in the wallet, you can look up the wallet address (public key) any time in a blockchain viewer.
- It may well have a valid wallet address on the outside but how do you know that it actually contains a printout of the private key? (This is probably closest to your counterfeit worry).
- The manufacturer actually knows the private key (he had to populate the wallet and print the key). Even if the coin contains the private key, how do you know he won't spend the money before you do?
You have to trust the manufacturer and this is totally against the bitcoin philosophy of trust-free contractual agreements. Physical bitcoins are nothing more than a novelty item and shouldn't be taken seriously. I think their biggest use is to get round the non-photogenic nature of bitcoins and piles of these things (almost certainly empty of a key pair) provide endless stock photographs for bitcoin articles.