As I am German, I should know... right?
The Christmas Pickle and the "legend" and "tradition" behind it is nothing more than a fancy urban legend.
It was not invented in German, we do not have any tradition that includes pickles and this is simply wrong and not true.
The funny thing is, that they have been available to buy in Germany for a few years with the rather funny "Americans think they are German" as a story. Well, just one more reason to find Americans strange ;-P