I wouldn't say there was any scientific proof that wood-shavings is bad for ALL small animals. My girlfriend has a rat who is almost 3 yrs old and has had a couple of abscesses in the past but they've cleared up. He's a really old boy and it shows, but he's healthy still. Now his brother, he died the end of last yr. He literally bled to death on my girlfriend's lap. He had obviously gotten an infection in his lungs from the wood-shavings because for a while beforehand he had been sniffling and sneezing a lot and then came the blood from his nose and one thing lead to another and in the end.. well... it basically was not a pretty sight as you can imagine...
I think if you have a well ventilated cage, which all mine have, you shouldn't have a problem with dust getting in their lungs and harming them. It can probably do just as much damage to us too so we're all at risk slightly.