ITs a matter of having to displace all of the air to get oil back to critical areas such as rod and main bearings. The engine oil pump is not going to be starved for oil due to it being the first thing in the system that gets oil, and it has some trapped in it from the last time it was ran.
If you put the filter on dry, when you start the engine, oil will start coming from the pump headed toward the filter, that pressurizes the air in the filter and pushes it futher downstream toward bearings and cooling jets. This air must be purged from the lubrication syatem, and its going to have to leave thru bearing clearances. Those brief moments that the air is passing thru the bearing means its blown the protective oil film off. Thats why on gas engines,(quieter) you hear the engine knocking when you start it after doing the oil change this way. Performing an oil change this way isn't going to cause a catrostrophic failure when you stat it, but it DOES cause un-necessary wear on the internals. I'm personally not concerned about the cooling jets at start-up... but the rod, main, and turbo bearings I am worried about.
Just my thoughts...