John,
Its getting to the point where most bunkers are lined. Five years ago, it was an option, now its almost mandatory in new construction. I have several courses under ten years old (and one only 4 years old) where I am going in and adding some kind of liner to previously unlined bunkers, because the sand has deteriorated so badly from mixing of underlying clays. I have another where the rocks are just getting to be too much of a safety hazard to play bunkers without liners.
Not sure about the sandy soil sites, but in clay or topsoil, the subsoils (and rocks, if present) migrate up into the sand, make it dirty and muddy, etc. Even in sand, we would have to presume the local sand was of the same type used in the bunker, and that the Owner hasn't opted to buy Best Sand from Cleveland to get perfect lies, color, etc.
There is something about making the bunker an even more artifical entity that bugs me. But, just as we get away from sheep pits in sand stylistically, I guess we have to start building them better when in different areas.
Your big question will be whether to use a fabric liner like SandMat or a solid liner like Klingstone, Sportcrete, etc. There are a lot of options out there, but none really has a long term track record. Most seem to favor the fabrics, but I can see the advantages of an actual solid surface, should someone develop one that does work and last.