Door latches (door handle you're referring to) are made to close while locked, they're a spring-loaded device that does not care that the door knob won't turn or lever actuate as the latch bolt gets pushed back against its spring by the striker plate before dropping into the pocket. It works this way whether the lock is engaged or not. Nothing in the lock mechanism is connected to this portion of the latch.
He might be onto something if he's talking about the deadbolt but the reason why would be obvious to you. I only mention it because I flipped the deadbolt lever in the dark in one of those bu'duh moments and left a nice permanent dent in the casement molding beside my front door.
I've locked the latch from the inside all my life as well. Took apart my first mortise type lock with the old ward keys somewhere around 10 and managed to get it back together and in working condition. Did the same with the Kwikset dual door set of the day. The latch part hasn't changed much in its operation over the ensuing four decades and the latch was made to spring actuate then as it does now.
Tell him it saves wear and tear on the pin tumblers in the lock and the key for the door latch as they only get used half as much as the deadbolt key.
How old is this lockset? Normal wear and tear kill them.