I myself am sort of into the biotope thing so I prefer natural sand uncoated.I commented once that I had some black gravel (might have bought at petco or other LFS) a long time ago. After about 5 years + some of the color started to wear off (some whitish pebbles).
On the other hand I recently got some carib sea sand and had to deal with some diatom blooms. Has since settled down after planted cichlid tank has cycled well.
I don't think coated gravel will hurt and it would make sure the silica in the sand doesn't affect the water. Tahitian moon has been know to harm eartheaters. At least that is what I have read.