I've used the Caldwell lead sled a number of times for sighting in rifles & comparing ammunition. They provide an excellent solid & steady rest & certainly take away the recoil component. I've never used one bolted down, & they certainly move between every shot & probably need more time adjusting between shots than using sandbags.
After sighting in numerous rifles using the Caldwell lead sled, I have always confirmed zero by shooting the rifle independently & the zero has always been the same.
I would not think breaking stocks is common with a lead sled, as there is rearward movement of the sled system if not bolted down.
I think the Caldwell lead sled main benefit is sighting in & developing loads/working out which ammunition shoots better in rifles from say .270 & larger, where you may be firing 60 plus rounds in one sitting.
Got to admit, didn't have access to the Caldwell lead sled when I acquired my Sako .17hmr recently. I went to the local range & used their standard wheel adjustable sandbagged front rest with a sandbag rear rest & achieved my best groups ever.