i cant think of any reason connecting both at the same time would hurt the drive or power supply. all you are doing is connecting two wires with the same voltage to one device so its not like they are different voltages.
(im not that sure about power supply to sata drives so forgive me if im wrong about not using different voltages)
i think the reason you are told not to connect both at the same time is in the event of a short circuit it may not have proper trip protection to your system.
naturally you dont want to be doing it if you run dual psu. (might mix up the wires)