There was a pretty spirited discussion on Reddit about this topic. Officially, there is lead in Yunzi stones, but the level is minimal (~50 ppm for black, ~20 ppm for white), which clears them for sale in every country that regulates lead. On the other hand, there are anecdotal reports of higher levels.
In sum, I don’t think the lead is a concern. It’s not like paint, which lies on the exterior of the surface and can be scratched off. The lead is trapped in the lattice of the porcelain making up the stones. Unless you’re eating them or snorting them as powder, I very much doubt the lead presents a real health concern.
Editor’s note: I own Yunzi stones.