There's 2 ways to look at it. Since they do it they must want to. Call it play, looking for food, or trying to get off parasites would be hard to tell. Some people do try and make pond a little more interesting for Koi. Others keep them in basically a swimming pool. We have no way to tell what makes them happy. We tend to anthropomorphize but that can be misleading.

The other way is how most keepers seem to look at it, protect the fish at all costs. They would probably see the sand as an abrasive which could cause injury or maybe see it as a sign of parasites and test the fish..

To me a Water Garden isn't a Koi Pond. A Water Garden is a more interesting place for fish imo. It's also a more dangerous place, but doesn't have to be overly so for the most part.

I've never heard of adding sand being a required thing, never heard of it being deadly, but never heard of anyone do it either. So I think it's just your call.