The main reason is that when these devices are linked directly to the SmartThings hub they change their profile from ZLL to ZHA.
That in itself isn’t a problem but ZHA uses more zigbee channels than ZLL does.
If your smartthings hub happens to be using a ZHA channel which is not also used by ZLL, then linking a bulb directly to the smartthings hub might mean there was no way to reset it and move it back to a Hue bridge without buying an additional third-party device. ( as @kojak35 points out below, the recent issue isn’t a problem for the motion sensor, because it does have a way to be reset. It’s just a problem with the Hue bulbs.)
That’s complicated to explain to someone because it’s really technical and at the same time it’s super annoying to someone who’s just trying to experiment to see which set up they like better.
Again for technical reasons devices like Sylvania devices don’t happen to have that problem. They can be linked to their own Gateway, then reset and linked directly to the SmartThings hub, then reset and moved back to the gateway.
Explaining why that might not work for some customers with Hue devices while it did work for others is just a headache.
So if you have it set up and it’s working now and you like that, there’s no issue except that neither SmartThings nor Philips support Will help you if you do run into a problem. But if in the future it would need to change back to using the hue bridge you might run into some issues then.
This is discussed in great detail in a number of forum posts about attaching hue bulbs directly to the smartthings hub if you want to read more about it.
Again for technical reasons the sensors don’t have the same issue that the bulbs do, but just the fact that neither official support staff will help the customer and that is enough to say it should probably be reserved for people with a strong technical background who understood the issues before they did it.
So in a sense, just someone asking the question is probably enough to put them into the group where the suggestion would be not to do it.