The initial thought of having a gun rest to take the recoil sounds good but in reality there are some cons and if you haven't experienced any consider yourself lucky...
I don't own one but know friends that do and they have experienced the same problems mentioned above. Of course you can add more weight or less so I can only assume that adding more weight will or can cause more issues depending on the recoil of your rifle.
One other problem that others haven't mentioned is your point of impact using a lead sled vs not using one( like a hunting situation). I would bet that if you used a lead sled and say shoot a group @ 300 yds and then use a sand bag, I'm pretty sure your point of impact is going to change.
I would stick to sand bags unless you just want to use the lead sled as a rest without any weight. Anything you change in your shooting form/style will change the point of impact of your bullet at long distances.