I use playsand in one of my tanks and it is fine. Sand does get caught in the filter, especially when my lights turn on in the morning and the fish dig in.
I also use Petco brand and estss(sp?) sand and like it so much more. I have used them in about 5 saltwater tanks. No rinsing need and it is pretty dense. It is good enough for my stingrays are able to bury themselves but none of the sand gets caught up in the water column. When you first add it to water some of the sand will float. If you agitate the water a little it will sink.
Sand is a more natural choice, many fish suck it up and blow it out through their gills. I use black sand in some tanks and pool filter sand in others. I do use a sponge in the end of the intake to prevent any said from entering the filter. I use PFS110, PFP-115115W, and PFP-115108CAP