The main argument for not doing that is that where an input could become an output high, the short to 0V will likely damage the I/O pin and perhaps the PICAXE. If tied to 0V via a suitable resistor such a situation will not have such catastrophic effects.
The risk of such a situation occuring is for those PICAXE's which have bi-directional I/O where there may be a programming error, and in cases where an external effect may cause corrupt operation of the program or the internal firmware ( EMF, induced noise ).
Connecting to 0V is okay if you are prepared to accept the risk of failure in adverse circumstances. In many cases unused inputs can be left floating ( or not connected and set output low/high ) without having undesirable consequences. The recommemded course would be to tie each unused input to 0V via its own resistor.