The vinyl slugs have a softer feel to them, but they can indeed grab the thumb if the thumb is damp.  Urethane slugs are quite a bit harder, and the texture of them on the inside really depends on how much polishing the driller does to the inside of the slug.  If the driller just hits the inside of the urethane slug with an 80 grit sanding disc on the bevel sander, then the inside of the slug is going to feel more coarse......but if they use a 120 grit sanding disc, then use an old worn out disc to polish up the hole, then it will feel quite a bit smoother inside.

I prefer urethane slugs, primarily since I bowl in humid conditions quite a bit, and the urethane slugs aren't nearly as prone to grab a damp thumb as the vinyl slugs are