I did overlook the 600*C bit at first- straw would definitely be a bad idea, lol. I still would guess that the additional cost of clay would be worth it. Clay is both more conductive AND has better capacity- the air between the grains of sand is an insulator, and has significantly lower storage capacity than the grains of sand themselves.
Another option some people use if they don't want a permanent installation (or just need occasional portability) is large stones with gravel for fill. It's quite a bit less efficient than clay, but the larger size of the gravel and rocks inside make it a better option than sand.
I imagine they have done the math on the cost of the sand and the efficiency they are getting out of it, it just goes against everything I have ever learned about thermal mass storage from the permie / rocket heater mass storage community.