I don't know either why they'd say that. I was under the impression that harnesses were particularly recommended for cavaliers because of the likelihood of SM and also as a small dog it can place undue pressure on their windpipe.
We've only ever used harnesses, and we like the puppia ones a lot. They're lightly padded and seem comfortable. It spreads the weight nicely if they pull. (obviously you might not want to encourage that but...)
Are you allowed to use a harness in the show ring? If not maybe that's why they recommend a collar and lead.
Cecily, owned by Dougal (B&T boy, age 2) and Dora (Blenheim female, age 2, rescue)
Cavaliers at the bridge, much missed and not forgotten: Aggie (tricolour female) and Rio (Blenheim female) and Tandie (ruby female)