Walnut dust is bad for your health all by itself. Besides skin and eye irritation it can cause Nasopharyngeal carcinoma, or sometimes called nasopharyngeal cancer. Basically, it is a cancer of the upper area of the pharynx or "throat," where the nasal passages and auditory tubes join the remainder of the upper respiratory tract. http://www.wood-database.com/wood-articles/wood-allergies-and-toxicity/ransom63 :
Walnut shell media is more aggressive. That is, the brass comes out with more of a matt finish than a polished finish. It also is better at removing stains than corn cob media. You don't have to buy walnut shell media from the reloading industry. You can get it at Harbor Freight, or at least you use to be able to. Since it last longer than corn cob media, I don't buy it very often.
The object of cleaning the brass is to remove anything on the outside of the brass that might damage the reloading dies. Polishing the brass has no use except to look good. I prefer utility over appearance so I use walnut shell media exclusively with NO polish. I have had problems with the polish causing clumps that get stuck inside the case so I quit using it.
Both media's produce dust but because walnut shells are inherently harder I suspect there is less dust with walnut shell media. I use a Dillion media separator and play my air hose over it as I turn the separator initially. Since I do this in the garage it is not a problem but.... the dust may be toxic if breathed as it probably has some lead in it so wear a mask or do something (like do it outside) to keep from breathing the dust.
Wear a mask anytime you are likely to be exposed.