Okay, so, we have two branches here, two meanings of, "unnatural". One meaning is about being dark, or morally wicked - "the cultists performed unnatural acts." The other is about not being part of the natural world, as a D&D druid might conceive of it.Emphasis added. I'm really not sure what to do with this argument.
All those seem unnatural to me. Demons, angels, kids of angels... where are you going here?
In the sources adapted to Christianity, all things come from the Creator. The Creator made trees and grass, and angels. Demons are powers that are unnatural in the morally wicked sense. But angels and their powers? They are they are part of the world as the Creator made them - as natural as trees. If the creator made a wood sprite, are you going to gainsay them and say it is unnatural?
Humankind, with free will, can themselves create, and so some of our works may be unnatural in either of the above senses - not of the world as created, or wicked. There are a few suggested fae origins in here that are such that we could debate their position in the scheme of things. But that gets a bit theological, and thus a bit dicey for EN World. I will note that they were not cast into the Abyss, so there's a limit on how bad or outside the intended order they can be.
In sources not adapted to Christianity, the moral wickedness portion of this does not apply. In most of these traditions, the natural world quite normally has magic in it. To these traditions, the natural world exudes and generates magic. Anything of that magic is natural - the sylphs and nymphs of the glade and the wood are totally part of nature - they are nature spirits! Yes, there are magics in these traditions that are not of nature, but the fae are not generally associated with those powers.
Now, to bring this back around to D&D - to classify things as natural or unnatural will depend strongly on the metaphysic of your given world. I will note the Monster Manual says: "Fay are magical creatures tied closely to the forces of nature." I don't know of any official rules for cold iron - fay creatures in the MM are not listed as being vulnerable to it.