I'm using black sand in my set up; and passing a mag 10 ($300!?!??! &($%(##@!!) over it, nothing twitches. I'm using the brand Super Natural that I got from Coral bay.
I think this rumor came from the fact it has sharper edges to the grains of the sand than agronite, so if you do get a grain under a cleaner magnet, it is going to scratch acrylic fairly well, so you just see more of "I couldn't have had a dirty cleaner, so it must have been magnetic"

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Anthony Calfo mentioned using it in his presentation at spring fest.; he didn't mention anything about it being magnetic. GIRS members can watch our fests speakers on line to catch his speech, and our membership is cheaper then one bag of black sand.
Just keep your cleaner out of the sand bed, and enjoy how much more the fish pop

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My .02, and this is a debated topic I should point out.