I fill my tank, I don't connect to the dock water line.
They are right, if something fails, the water pressure could fill and sink your boat.
Now, if you were on the boat all the time, and were there to keep an eye on it, then leaving the shore water connected while you're on board is fine.
Of course, you could connect it and turn it on when you are there, and off when you are not, but if you forget, and there is a failure? How's your insurance?