Rakshasa: If you have sente then capturing once will allow your opponent to play a ko threat that might be worth more than the aji it eliminates. I think this advice is only valid if the board is such that your opponent can only play purely aji eliminating ko threats. (As opposed to ko threats that also have secondary effects) Eliminating the aji might be worth more than what your opponent gains in secondary effect, so it's not clear-cut.
Charles I don't really understand the comment added here by Rakshasa. Suppose there is a ko fight, and White knows she can't win it. White captures, Black makes a valid ko threat, White answers, Black recaptures, White defends the position since it isn't sensible to look for a threat. Now, Black has sente. Therefore, if the ko threat Black played was a good sente play Black wanted anyway to play about now, he could continue and play it right now. In that case, it looks like Black gains nothing by playing it as a ko threat (and White neither gains nor loses by capturing once). In other cases, Black may lose a little by having to find one threat.
Of course an example would be good on the page.
I can just about see that there might be a ko fight, in which a ko threat might be some kind of useful intermediate play. That kind of play is quite rare in go, though.