I wouldn't say it's bad so much as our way is more traditional and produces better results more consistently. One thing you need to be aware of is that RMXP plays best with indexed colors, which means you have 256 colors to use on a given sprite, so it's always good to be frugal. It also is a throwback to earlier days when game systems had a total on screen limitation of 256 colors (or less, f/i the NES had 32 i think) so they had to be very, very frugal to make sure there was space for all the colors in use by different items on the screen.
In terms of shading techniques, it gives form and depth to your sprites, which just plain looks nicer. There are some great tutorials in the tutorial forum on color and shading for sprites that would get you started on the ideas and why they work.