I agree with MLS. Round bales aren't more dusty than square. Many years ago, we only fed standard 80lb square bales to our livestock. We baled them ourselves, and they were often quite dusty, depending on the weather conditions when they were baled. When we switched to baling round bales, I didn't see any signficant difference in the dustyness.
We have a neighbor that trains horses and has some sort of contraption that she sticks a round bale on and just peals off however much she wants for each horse she has. She says it works great, but I haven't seen it, so I really can't say.
We do feed round bales exclusively - we have five horses in the front lot, and a bale will last close to a week. We have two stallions in separate areas. Scooter will eat a bale in about two weeks, but we've noticed that somehow a lot of it winds up in his shed. Never heard of a horse building a nest, but he seems to have done it.
Junior is in the back pasture and he'll eat a bale in about 2-1/2 - 3 weeks. Guess he takes so long because he has access to winter grass and doesn't rely solely on the hay. We rob hay from his bale for the goats, too. They don't eat a great deal of hay - they browse on general junk when they are turned out anyway.
Haven't had any issues with rotten hay. The hay on the very bottom of the bale, where it sits on the ground isn't any good, but the horses generally don't get down to that part before we put out another bale, so I have no real concerns there. That junky part gets thrown in the chicken pen - it's often loaded with grubs and bugs - the chickens think it's great!
Plain Old Dee, horses Dancer and Rain I believe in dragons, unicorns, good men and other mythical creatures!