Naturally carbing in a keg can be problematic because they sometimes will not seal until they've been 'smacked' with a high enough pressure. When you hook CO2 up to it, this is accomplished easily, but when you've got it sitting there naturally carbing, CO2 is developed so slowly it can easily leak out too quickly to ever build pressure. If you're going to naturally carb, you should hook the keg up to CO2 at the beginning, and just hit it with 20PSI or something, to make sure it seals, and then put it away to naturally carb.
Personally, don't see much reason to naturally carb a keg, especially if you've got the option of force carbing it, but to each his own I guess...