I think figuring this out would require knowledge of what exactly dreams are for, and since that issue is pretty undecided as of yet, I think it'd be pretty hard to know for sure whether non-lucidity is learned or natural.
One theory says that dreams are just the conscious minds interpretation of what the subconscious mind is doing while you sleep. If so, then that'd mean non-lucidity could just be a learned behavior.
Another theory, though, says that it's the minds way of practicing what you learned during the day and that it's way of learning to deal with possible risks in your life, which would be why you dream about actions you do all day and have nightmares about scary(harmful) things you've encountered recently. In that case, non-lucidity would natural because doing these things would be much more useful than running around in a dream world playing out impossible scenarios.
Of course, there are many other theories as to the role of dreams, and with them many more arguments about whether or not non-lucidity is natural. I guess it's out for discussion at the moment.

BTW: It's really late right now so sorry if this didn't make much sense or anything. I'll fix any errors I've made if can remember to come back here.