Play sand is dirty and it could be rinsed but this isn't the main reason not to use play sand in paint. It is heavy. The density and weight of play sand will make it sink to the bottom of the paint, in a paint pan or bucket for rolling. It will be difficult or impossible to have an even distribution of sand for the texture.

It is better and easier to use the pumice or ceramic based paint additives. The results will look much better.