I just connected my iPad 3 to the power supply and updated directly using Wi-Fi. If there is an issue doing it this way, surely Apple should/would advise?
Apple won't be likely to advise you that using the OTA process will prevent you from jailbreaking. They are not exactly our biggest supporters This is the hacking section of the site and the advice is targeted at current or future jailbreakers.
Updating OTA generates a different type of APTicket, which is a component part of the SHSH Blobs which allow a firmware to be installed on your device. The exploits used on previous (and perhaps future) jailbreaks rely on having the full APTicket in place, not the different type generated by an OTA update. Therefore, anyone interested in jailbreaking should ensure they have a full APTicket in place by doing a full update / restore operation using iTunes.
The same is true for the certificate which is installed on a device when it leaves the factory, which is why some folks who tried to jailbreak their devices on 5.1.1 which had never been updated since being first turned on, ran into problems.