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I assume you are referring to playing the first page "sans les Pistons" (without the valves, that is, on the natural horn), and the rest of the piece "avec les Pistons" (with the valves) - yes many people do it that way. Many (perhaps even most) people also just play the whole thing on their regular valved instrument.

I've played the piece probably a hundred times, and always use natural horn for the opening section. In all but a couple of cases (like playing it on a subscription concert with the Houston Symphony), I also took a few minutes to tell the audience what was going on to get them ready for the natural horn. By the way, I do not use the natural horn on the last page for the short section in 6/8, there isn't enough time to switch instruments, so I just play it using the valves. I know that is inconsistent with the composer's markings, but artistic license and all that. So sue me.

As you probably know, Villanelle was written as an examination piece at the Paris Conservatory (in 1906?) to demonstrate proficiency on the natural horn and the valve horn. Though it is a bit more challenging, and it requires carting two instruments to the gig, I really like the haunting sound of the natural horn for the opening section. And audiences seem to like the added visual effect of the two instruments, not to mention the explanation of the natural horn and the historical significance of it. A good argument could also be made that Dukas intended that the whole thing be played using the valved instrument, but employing hand horn technique in the opening and for the 6/8 on the last page.

Whether to play the opening of Villanelle on the natural or valved instrument needs to be each performer's choice. It is such a great piece, it sounds fine all with valves. Players who may not be comfortable using hand-horn technique, or don't like the sound of the natural horn, would in fact be ill advised to do anything but play it all on the valves.