the bagged varieties wont introduce bad things, just silt. If you were carrying in from the wild, or moving among tanks that'd be a time to concern or check (carrying in waste)
it is ok to not rinse the products before use, but if you want to head off the cause of 100 problem reef threads (clouding and silting everything) then by all means rinse well. You can rinse the sands in tap water over and over again until no silt can become of any form of their handling, then rinse out with clean saltwater and put to use. This will not kill any incidental bacteria on the sand, and it saves you from wasting fresh saltwater, ive practiced this for years. Your tank isn't planned around sandbed bacteria anyway, but even if it was, this rinse isn't antiseptic in the least. all it does is make your tank where you can maintain it and never have a resulting cloud.
By all means leave in the cloud if wanted, no prob either way.