You have to be very careful with the advice which auditors give you...
I will get around to the blog some time soon and ping this thread. Yes, there is an obscure SAP note about it - will track it down for the blog anyway.
Sure you can tell them that I said it is not only OK but also necessary if the system is to work correctly.
You can also show them this thread and hope for good measure that it gets some traction to counter the urban legend audit advice...
Cheers,
Julius