Filly I don't know, that is interesting to think about. I don't think a baby can assemble their own treasure basket, so you would need to supply the objects until they get older. Obviously your kids playing with the fir cones they've collected is fab. Someone living in an urban environment may not naturally have access to feathers, shells, pebbles, fir cones etc as part of their everyday lives. I think it would be beneficial for them to deliberately get these items for their children, yes.
Also our homes tend to be less full of objects made from a variety of materials and textures. I noticed when I was assembling the baskets that a lot of things I was buying had to come from second hand shops and boot sales because the modern equivalent is made of plastic. Especially household objects. I do think if you have a wide variety of objects in your house then that's great. But if most things are made of plastic, then the baby isn't getting the fullest sensory experience from it. I am not saying that's a problem - but you might want to provide the most exciting textures that you can.
I don't really have a problem with buying in the things specially if you don't have them. I buy childrens' books and so on, I buy music cds for ds - I could tell my own stories and draw my own pictures and just sing my own songs. I also buy fruit + veg that are only found in other countries for us. We enjoy experiencing things that we wouldn't naturally come across in our own lives.
The supervision thing - no, you can't leave a baby alone with this. But sitting quietly next to them with a cup of tea (you can read a book or whatever, if you are comfortable all the items are reasonably safe - you're just there in case they get into bother, really) is not too taxing. And this style of play means that with your supervision they can experience sensory stimulation and exploration that they wouldn't otherwise be able to. Yes, the idea is that you keep it for a period of play each day, not just have it out. I would do it when I needed a break.
Ok ds says water has run cold
more later
thanks all for your thoughts and I am glad that as ever this provokes a lot of interest