I think its good to teach a horse different things, after all...variety is the spice of life. I dont like the bean bag thing but its good to teach them not to be frightened of stepping on a platform or rolling a ball around, it creates the pleasurable do-anything, go-anywhere horse.
Most of the things we do with our horses are not natural.
However I do not believe in using horses for a circus or anything like that and I would never force a horse to do something that he didn't enjoy for my own gain.