Why is suggested not to use symlink for sites/all and sites/default?
You'd have to ask Pantheon to be 100% sure (they even did the initial development of the module). However, the warning message in response to a situation where sites/all is a symbolic link, is:


  Avoid changing Drupal's site structure; remove the symbolic link and recreate sites/default.


So I think it's safe to assume this is just warning you not to mess with the structure of a Drupal site, which would probably cause problems or unexpected results when updated in future.