Cinder sand is commonly used as a footing where I am at (northeaster AZ). My friend even put a load of it into her round pen, and I know of someone else who coated their roping arena with it. We also use the bigger cinders in our driveway.
The big ones can hurt their footsies a bit, and least my horses are careful crossing the driveway. The cinder sand seems to work like any other sandy footing though and I would think nothing of riding in it.
However, I wouldn't want to keep a horse in a pen or stall with cinder sand, as I heard a story about someone who lost their favorite stallion to colic and apparently he was full of cinder sand.
You would have the same problem with "regular" sand too though- there is always a chance of sand colic if they are eating it.
PS. My horses are barefoot too. Cinder sand = no problems. Larger cinders = horse that is careful where it puts it's feet.