Ok, I finally get it (I knew there was more to this story).
You're taking those instructions too literally. They're only telling you to use an ethernet cable and PC for configuration purposes. If you use wireless, it's just more difficult. For example, suppose you change some wireless parameter while using wireless (SSID, security type, key, etc.). Maybe even make a mistake. Then as soon as you do, you have to go back and reconfigure your wireless laptop again to get reconnected and continue configuring the router. It's just annoying, a hassle, to be reconfiguring the very connection you’re using. It’s like trying to change a tire on a moving car; technically possible w/ the right equipment but not exactly convenient. By using a wired connection, you're not affected by all those wireless changes UNTIL you actually start using wireless. Once configured, you can remove the ethernet cable and be done w/ it.
P.S. Always use a WIRED connection for firmware updates. You may never need to do a firmware update, but just in case you do, always use a WIRED connection.