I have. I called down to housekeeping and they had foam pillows available. The only problem I had was housekeeping took them when they made up the room and replaced them with the feather pillows a couple of days. I started to put them in the closet after a few days and they left them there.
I've never stayed at the Swan, but at Westin Chicago, which also has the Heavenly Bed TM. I have bad allergies, but I didn't have a problem with that bed. It was lovely.
I was concerned with this, too. I do carry a tiny pillow with me that my face will actually rest on. I love that little pillow. I bought it in a craft store. I guess I will find out when I get there in 33 more days.