aren't there different grades of "Clay", and some may absorb dirt better than others? Some clay is harder, and you can feel little pieces of debris that get stuck on it, which then will cause scratches if you continue using it without cleaning it off. I noticed a big difference with two different clay bars I have. One works great, always pulls out all the black fallout etc from the paint, doesn't leave a scratch, and I usually just use water as a lubricant from the garden hose. The other clay bar was much more expensive, but works horribly. It feels like a rock, causes scratches, and doesn't really pull out the black road grime, all while using lubricant (this clay bar sucks even worse without lube).
Both clay bars I use are from pinnacle, but one is older and softer material. The new one had a different name I can't remember.