They don't want you dead, a law suit and the resulting bad press... An extension lead in itself is not dangerous although it could be if it's flooded with spilt or leaking water but a properly installed wall socket is safer than an extension lead. Not all users are sensible - some might try to run several high current machines from an extension lead at the same time - stuff might happen etc etc.
The instruction that you should not use an extension lead is just the manufacturer playing ultra safe.
Have the extension lead in a place where it is unlikely to get wet.
Peccavi
August 2009