I thought that too, but one of mine has flat feet, and she was the only one out of mine that had the snow slightly balling up when she came in.. the other two have 'normal' feet and were fine.. odd..
Ive always used shavings, not really tried much else, apart from different types/makes.. and i find just normal shavings easiest..
i have fairly 3 messy horses, and 2 of them i have to take out 70% of the bed each day, so its not very cost effective..