I read that walnut shells actually dull needles. It's like pushing it through wood.
However, my daughter is deathly allergic to walnuts (all nuts) and if she touched an item that had been pinned with pins that had been in walnut shells, she would most likely end up in the ER or at least at the walk in clinic with full body hives or worse. That's why I never do swaps or buy from shops that sell pincushions w/ walnut shells.