I just picked up a non-diaphragm pressure bleeder (Gunson's EZ Bleed) and I've seen information that says that this type of device is not good to use since it can force air and moisture into the braking system.

Any thoughts? I haven't opened it yet and I'm contemplating returning it.

Yes, that can and does happen with those bleeders. If you are just doing some street driving, it will be OK. If you were going to be really hard on the brakes and put alot of heat into the fluid, I'd use a diaphragm type.