First let me say WELCOME to Reef2Reef!
Now to your questions. These are good questions and I hope you keep asking them. The people here are friendly and want to see new reefers be successful.
Question: How are cockle shells a filter? How do you understand that they will replace a skimmer? I live by the beach and I've occasionally had a live cockle in my tank, but they typically don't get enough food in an aquarium to survive long term. But what do you think dead cockle shells will do?
As for using natural sea water: That can work and some reefers do it. However I find making water easier than hauling it in from the ocean. But here is the serious concern for you to consider,
pollution. Sea water taken just off the beach is often (not always, but often) polluted with waste, fertilizer, freshwater runoff and more. Here is SW Florida we sometimes have to warn people not to go in the water the pollution is so bad. You wouldn't want that in your tank.
A few people use a boat to get out away from shore 5 or 10 miles and collect their seawater there. That is probably a much safer water to use. But if you have a tank full of expensive corals, fish and other creatures, is risking them worth the cost of making your own water? Many reefers make their own water and worry when the TDS (Total Dissolved Solids) level in the fresh water they start with is even 1ppm. When I stated in the hobby I bought distilled water (0ppm) at the grocery store and then made saltwater at home. I did that for several months before I got an RO/DI system to make my own clean freshwater to start with. BTW, I think anything under 10PPM in my RO/DI water is OK.
I hope this helps? I look forward to seeing your reply to the cockle shell question.
Good luck and welcome to the addiction... I mean hobby! ;Hilarious