I think it depends on where you purchase your Kaytee hay from. I have never had any problems with it, except for some dead grasshoppers here and there, but I bet anything that oxbow hay has some in it to, maybe not the box you get, but I'm sure some do. All hay is harvested the same way and it's impossible to look through every little piece.
My last farm bale had some rabbit fur, I just picked it out and went on...
I can't get Oxbow anywhere here, but I like Kaytee, it's always green, soft and sweet smelling, so I don't need to worry.