There is a ton of controversy regarding pinky (or pinkie) feedings. Honestly, as long as you're feeding dragons that are big enough (mainly adults) without any impeding health condition and your husbandry is good (temps, they're soaked properly, etc) its really not an issue. Should new owners use them? No, definitely not. They're really for experienced owners who know what to watch for, should an issue present itself. Will there be issues? If your husbandry is good, no, there shouldn't be. It comes down to personal choice but there's nothing inherently wrong with using pinky mice as treat feeders.
Questions always arise if commercial diets should be used with dragons. Some people like to use them as a sole source of nutrition, others use them as a "treat." Some brands are better than others, as certain dried, commercial brands contain added ingredients, fillers, and other such nastiness. Honestly, dragons thrive best (in my opinion) on fresh foods. I have never given my dragons anything out of a can, box, or pre-made, other than calcium and supplements. You have to decide for yourself but I like to see dragons thriving on all fresh, live foods, not foods that "once" were live.
Feeding your dragon wild caught items, such as bugs and other critters, is a really bad idea. With bugs, you never know what pesticides it came in contact with, which are then going into your dragon. Another issue is if you're really "not" positive what the bug is. I would never assume that anything caught outside is safe. Parasites is another huge issue. While its true that any live feeder can carry parasites, this is 10x true for things that are wild caught, as they've been exposed to more potentialities, as opposed to feeders raised in an environment conducive to being used as feeders.