I have heard this as well but the idea is that they chill so easily due to their size that its best to keep them out of the water. I have seen people who let them play in the water. Mine love the sand "bath" and I am glad as it is too cool here for them to get wet. They are originally from a temperate/warm climate.
The only birds I've ever wet down are bobs for dog training and that is only so they generate the proper oil on their feathers to be able to fly on wet days. They hate it. It's not like a bird bath where they enjoy their merry little selves, it looks like the fire sprinklers came on inside a hair salon, the birds couldnt be more irritated.