The hub does tighten up some slack when you tighten the QR, or axle nut as the case may be. We could argue about why (and some do), but it's a fact.
I don't know about the "conventional wisdom" method of leaving a little slack - I do that, but it's never perfect* and I wind up adjusting the cone nuts with the wheel on the bike.
*mechanics can probably get it perfect, having done hundreds of them, so that's probably where the rule of thumb comes from.