i have had reptiles (BDs and leos) on the walnut stuff for YEARS and never had any problems. no shed issues, no skin problems, cuts, impactions, rubbed off scales etc...i am not saying problems cant happen using this stuff, but i havnt experienced any in years. and keep in mind that you can find something wrong with ANY substrate if you look hard enough. as said, none are *perfect*, different species have different needs (i think that was covered earlier).
Loco, i think some of the problems you experienced with your bearded dragon might have had more to do with improper care (many things can cause skin problems) than the substrate alone.
i do agree with trying to mimic your animals habitat as close as one can in captivity, but in the end, you are keeping an animal in a glass/screen box thats not nearly as big as the space it would occupy and explore in the wild, feeding it a diet that is no where near as varied as it would be in the wild, and for many, making their animals a little bit too healthy (fat.)
if your animal is a healthy weight, active (although some species dont really do much, like pacmans), alert and eating well and looking good, what more could you do?
as for a 'natural substrate' leading to less stress etc etc...although some animals may need a specific substrate more than others (obligate burrowers perhaps) i think you are assuming too much to some degree. i have raised many leopard geckos on that walnut shell stuff, news paper/paper towels and now on a more natural dry soil substrate without any difference in growth, clutch size, sheds or anything else. if they are growing well and breeding...how stressed can they be??? do you think they could be "happier" on something more natural?