I change back over to shavings once the cord has dried up. I do, however, use a different shavings for mares and foals if I can find them. I like the big, not so soft, coarser shavings that won't get into the foal's eyes and noses as easily.
I remember I got a lot of different opinions and I assume you will too! Some people said they switch 3 days after the foal arrives and some people prefered a couple of months! I ended up making the switch after 2 weeks! God I hated cleaning a stall full of straw! Good luck!
We bed down really good with straw after the foal is born and when we need to replace the straw out comes the bedding pellets, we hate straw, and it usually is about 4-5 days.
All my horses are bedded on straw all of the time - huge, deep, thick beds with well built up banks round the sides. When the mares come in nights to foal, they love it as they can lay down flat out and their big bellies sink into the bedding but their heads dont, so they are not laying with their heads lower than their bodies as happens if they lay down during the day out in the field
So far (fingers crossed) have never had trouble with straw and foals, but have had trouble with shavings - bits in their ears/eyes and up their nostrils! Also several years ago we lost a stallion (always on shavings) who for some reason decided to eat them - impacted himself. Never used shavings since, although I do realise it was probably a 'one off, bad luck'. I dont like hay as it has only got to get a little bit damp and it 'goes off' and I dont want to risk anyone eating any of it. When I say gets damp I mean from the general atmosphere, not trying to suggest that those that choose to bed on hay dont keep their beds clean and dry! Our hay is the soft leafy meadow kind and just seems to attract any dampness in the air or during rain storms and starts to go mouldy very quickly.
My foals are born on straw and stay on straw as long as they live at my place. It's safely been around for 100's of years and I never thought about bedding with anything else.
We use soft hay on top of pelleted bedding that has already been soaked to break down. Then as we clean and take out dirty hay we don't replace except for pelleted bedding again broke down. It is maybe 5-7 days before all the hay is gone