Sand is not an infinite resource. It's crucial for both protection (if you remove all the sand from the beach, there will be nothing to cushion the waves and currents and etc. and it will result in more erosion, which can be deadly for any constructions nearby) and construction.
As such, it's completely normal that you can't just take sand or stones from many beaches. The very famous Étretat town in France with its accompanying beach and rocks, have a very strict "don't take souvenirs from the beach because you'd be actively destroying it" policy.
Sometimes someone has paid money to place the sand at the beach because it wasn't a sand beach from the start. So no, you can't go fill your sacks with sand anywhere you like, not even in Sweden were we can pick berries in the forest for free. Stones, trees and sand is not allowed without permission.
Not particularly, it's prohibited in US National Parks, National Historic Sites, National Memorials, National Wildernesses, National Seashores & Lakeshores[0], US National Wildlife Refuges [1], Most US State parks.
Canadian National Parks[2] and most Provincial/Territorial Parks.
So like less than a tenth of one percent of the US coastline. Literally so uncommon in the US I'd have to go well out of my way to find a section of beach where this is applicable.
Literally none of that is illegal at any of the beaches I've been to (east coast US). Not only does nobody care, there's frequently nobody around to even notice in the first place.
I don't mean to argue that it's just gimmick and any sane person would just use sand, but to be completely fair, sand is much less dense than steel, so if the coins pack well it does make a better weight.
I do also suspect that there must be some product that must be more cost effective than coins but denser than sand, but cannot think of it right away. I mean, scrap steel is a couple of cents per kg.
Olympic weight plates for barbells. They're widely used, so competition has brought the cost down, and they're easily available in useful increments. I currently see 4x 10lbs for <$50 on Amazon. That works out to 2,53 Euro per kg. So cheaper than euro cents. They may not have the exact shape you need.
The scrap steel probably didn't cost cents per kg when it was sold for its original purpose. You are paying for a useful shape.
A professional equivalent of weighted vests are ballistic plate carriers. Real ballistic plates can be fragile and expensive, so options for exercising in (or milsim games in airsoft etc.) include expired (and failed to re-certify) real ballistic plates, made for purpose training plates... or plate shaped sandbags!
Sometimes sand + water is used for ballast. Depends on your use case, if your heavy thing is moving around then the sloshing won't be ideal, but if it's just sitting somewhere static then it can work.
eg; weighing down the corners of a beach tent, pegs won't grip in the sand so instead tie plastic bags onto the guy ropes and fill them with sand and water.
