The problem when you don't skip the cut scenes in Praetorium and the one before it is that the fight will continue and you will just stand there and die. Sometimes a cut scene happens in the middle of a fight and the fight will not stop for you. When you come back you may find yourself dead. If you are a healer or a tank you could potentially be wiping your entire party for viewing the cut scene. That's why people ask you not to do it.

I asked my most recent party not to watch the cut scenes and they all raged at me. Halfway through the dungeon they stopped watching the cut scenes because they found out that I was right.