Count me in the camp of utilizing local materials. Of course it has to be "suitable," but my definition of suitable is probably much more lax than most. Bunkers need not provide the perfect lie nor the perfect color.
Local sand is how bunkers began from the native ground becoming or being exposed, and still today most links courses just use what is there, no matter how fine or rounded or off color it may be.
My biggest preference color wise is to match up with native sands and soils. I have no problems at all with the black slag bunkers, but I would take it a step further and expose it or create something in the native areas to tie it all in.
Love the Sand Hollow example in Utah. Ties in perfectly. I don't know what the solution is for places like the Southeast or South America with the native red/orange clay soils. Allow contamination? I guess that's what Tobacco Road does, which I think works pretty well.