I'm on the gulfcoast and waded out in the middle of winter (Florida winter, yes, ok) to collect sand, rock, etc. Used it all to build a 10 gallon tank that didn't have any major issues, I would be a bit more skeptical on a larger system, especially one holding any precious corals.
Points brought up to me- chemical runoff or spill present near beaches, introduction of a world of possible pests, legal issue of collecting sand or creatures from state or city parks.