The Stealthinator :
Any software you download outside the Ubuntu software center (I've heard) isn't official and it may contain bugs or viruses.
The operative word is may. Going to any website may contain viruses as well and you should go to sites you trust. That's why the folks at Ubuntu make the warning, just in case. There are many programs that the updates don't appear in the repository very quickly and you have to go to their sites to get the latest. Firefox, Chromium, Eclipse, Netbeans and Webmin for example are all programs I stick with the author's sites because of functionality and security updates that will take awhile to get into the normal repositories. These sites tend to be pretty open about warning you as to which versions are still in a beta stage and which are stable.
So yes, for most of my installs I use the repositories, I don't need the latest Tuxracer, but for those that affect my work or security I stray and keep up to date.