There's a grain of truth in it, but if you have small highlight regions they may not contain enough pixels to show up on the histogram, so if you push all the visible pixels to the right, you'll blow the highlights.

It's one of those "rules of thumb" (like sunny f16) that you need to know how to use and not just follow blindly.

BTW if you are shooting RAW, the histogram still shows what the the pixel distribution would be in the JPEG file. You can't display the RAW histogram in the camera.

If you do try "exposing to the right", keep a careful eye on the review image to make sure you don't see any blinking areas which indicate blown highlights.