It is not a good idea because:
- root usually has read permissions on security-related and private files in /etc (hints: all login passwords for your system, the login name and password of your internet connection, the password of other sorts of network connections like bluetooth, if any, ...),
- root usually has write permissions on critical files and in critical directories,
- root usually has all kinds of permissions on files in other home directories than your own (if you share the computer with someone else),
- even if root does not have these permissions, every process that runs with root privileges can always take them at any time.
With all these permissions, all kinds of things can be done if something goes wrong that simply cannot be done in the same manner if the process runs lower privileges. This doesn't mean that nothing bad can happen without root privileges, but it's much more difficult.
Btw. you can remove this warning directly from the code - grep for the text of the warning message and change the "#ifndef __WXMSW__" line to "#if 0". You may of course kill me now, but if he really thinks he knows better...