Pressing to the side originated because seams were hand sewn with a running stitch, and pressing to the side covered the seam so batting would not come through the gaps in the seam. You should never press a hand-sewn seam open for this reason.
The other instance you should never press a seam open is if you plan to stitch in the ditch. The ditch is created by pressing the seam to the side, resulting in one side of the seam being higher than the other; you then sew very close to the seam line on the lower side (in the ditch). If you press open, there is no ditch to stitch in, you'd be sewing on nothing but your stitches, which could weaken them and would do nothing to secure the fabric of the quilt top to the other two layers.
I generally prefer pressing to the side because I find it much easier to match seams that nest. However, it really depends on the design of the quilt. If I'm making a modern quilt that specifies pressing seams open, that's what I do. If I'm making a quilt and it makes more sense to press open, which it occasionally does, that's what I do.
The other reason I prefer pressing to the side is that, imo, it makes for a much neater-looking back.