Cotton bedding is very, very dangerous. As others have said, lots of small pet owners want it banned.
The strands can wrap around arms and legs and cause circulation to be cut off. The most gruesome stories I've heard involved the hamster (or mouse, or gerbil) chewing through their own limbs to free themselves. It can catch around teeth or get stuck in pouches, and if swallowed, it can't be digested and can lead to a severe impaction, which can become deadly very quickly.
It's scary, scary stuff and I'm so glad you were warned before Rosie got hurt
Here's a thread from a while back where a forum member's robo hamster became sick after eating fluffy bedding. Luckily, with the help of a very good vet, the hamster made a full recovery in this case.
Poorly Robo *THE DANGERS OF FLUFFY BEDDING*