If you think it might be helpful to get a different presentation of the same thing, Carroll has a discussion on p. 162: http://arxiv.org/abs/gr-qc/?9712019
Although it's true that any tensor changes with a change of coordinates (in the sense that its representation in those coordinates is different), tensors do have a couple of important properties: (1) a change of coordinates never changes a zero tensor to a nonzero tensor, and (2) you can form scalars by contracting indices on tensors.
I think what Wald and Carroll have in mind as being objectionable about the stress-energy "tensor" t amounts to saying that it fails to have these properties.
You typically only get meaningful results from t by averaging over a region of space that is large compared to a wavelength, and the failure of #1 clearly shows what could go wrong if you didn't. As a non-fancy way of discussing this, just imagine trying to calculate the local energy density of a gravitational wave from the square of the ordinary gravitational field vector g from freshman physics. We know this can't be right, by the equivalence principle, since we can always make g=0 at any given spacetime location by going into a free-falling frame.
As an example of why #2 is important, see Carroll's discussion on p. 169. To get the total energy radiated to infinity, he has to form something that isn't a scalar according to the grammar of index gymnastics, and then a separate calculation is required in order to show that this thing really is gauge-invariant.