SQL Server Log Shipping from 2012 to 2014/2016 I am being told that it is NOT possible to do Log Shipping from SQL Server 2012 to SQL Server 2014 or 2016. Is this correct?

If not, are there any caveats to the process when Log Shipping to a SQL Server version higher than the source?
You can happily do ONE-WAY logshipping from lower version to higher version.

The only caveat is that once you failover to higher version, you cannot failback to lower version... same applies to Database Mirroring. 

This technique is normally used when you want to do migration from lower version to higher version with minimal downtime.