An expert mucker outer might cope with shavings but I wouldnt put mine back on them even if they were given to me free- so I guess its horses for courses! I love not having shavings stuck to everything, having to sift the lumps to spread them, the nasty wet patches and them blowing everywhere!
Wood pellets wont look pristine and white-clean but the wet is quite obvious and they are such a nicer more natural forest floor type bed for the horse to lie on, rather than an anthropomorphic ' nice deep cosy' bed which is only needed for laminitics. My 17 hander when on shavings would get scrapes as he got up as the shavings just moved they were so light, they didnt give him any support.
I do agree that straw can be a pain too - mine would eat too much of it and I find it wet and messy and too big a muck heap. But muck heap is another reason for not using shavings, they take ages to rot down and rob nitrogen while they are doing it, so its a long time until they are suitable for spreading. Whereas wood pellets and hemp can be spread in weeks and make fabulous compost.