I've never used nylon, always a blend. Just bought new pairs online, in what I thought was a blend and I hate them. If anyone wants 4 brand new pairs of A&R 108" white laces....let me know.
My favorite laces are the Riedell brand. I always thought they were 100% cotton, but actually are a cotton poly blend. I know Mike Cunningham at Skaters Paradise sells them. Email him, from his website, and he'll do business by mail order if you can't get to his shop (in Southern MD). I feel like someone else said that Rainbo used to have them. Now that they're up and running again, it might be worth a phone call.
I've never heard a rec to change laces either, but, in thinking about it, the nylon ones may have more give, so may be better for break in? The Cotton/poly ones slip a lot less, and I feel stay tighter. Perhaps the rationale is that these will hold the boot better once break in is over? I dunno. I'm doing wild arm-waving movements. I think it's personal preference. The nylon ones always ripped up my hands, so if they come on my skates, I get rid of them as soon as humanly possible.