The problem with empty paragraphs is at least threefold:
1. Since the paragraph mark contains all the formatting for the paragraph,
there's just as much formatting for an empty paragraph as there is for a
paragraph of text; this means that empty paragraphs increase document size
(as does use of direct formatting instead of styles).
2. Whereas Word does suppress Space Before at the top of a page and Space
After at the bottom of a page, it does not have any provision for ignoring
an empty paragraph (unlike WordPerfect, which does ignore up to one empty
paragraph between text paragraphs). This means that if you use empty
paragraphs to create "blank lines" between text paragraphs, sooner or later
you're going to have one land at the top of a page and ruin your top margin.
3. Empty paragraphs can cause problems with text flow. For example, the
first four levels of Word's built-in heading styles (Headings 1-4) are
formatted as "Keep with next" to make sure that the headings will stay with
following text. The "style for following paragraph" for these styles is
Normal. If you insert a heading and then press Enter twice, you've got a
heading that will stay with your empty paragraph (blank line) but not with
the text paragraph you want it to stay with (unless you format your empty
paragraph as KWN also). Moreover, unless you've modified the heading style,
you've got way more space following the heading than you need (3 points
Space After is built into the style).
This brings up another issue: a full line is often more than is really
needed. I often find that for 10- or 12-pt text, 6 pts space between
paragraphs is more than adequate; an empty paragraph adds 12-14 points or
more. In any case, if you want the rough equivalent of an empty paragraph,
you can easily press Ctrl+0 (zero) to add 12 pts Space Before to a text
paragraph.
As for use of styles, I've never seen anyone claim to use (or advocate
using) styles for every single document. For the occasional throwaway
document, direct formatting is much easier and quite acceptable. But for
structured documents that will be edited over time, styles are the only
sensible approach. Not only do they reduce document size, but they foster
consistency and facilitate revision. If you just start typing and apply
direct formatting to your headings as you go, not only do you have to (at
least mentally) keep track of what formatting you previously used for a
given heading level, but if you change your mind and decide you want a
different font or font size or bold instead of italic or vice versa, you
have to run through the entire document making changes (at a minimum by
using the Format Painter or Paste Format); if you have applied heading
styles, all you have to do is modify the style, and all the paragraphs are
updated automatically.
In addition, use of the built-in heading styles is required for access to
some features (such as including the chapter number in page or caption
numbering) and strongly recommended for others; see
http://www.shaunakelly.com/word/numbering/UseBuiltInHeadingStyles.html.