I do not use that method but I think that Gay is correct. If you do sew through the paper, the smaller stitch makes the removal much easier and you are less likely to distort the seam. But what makes removal a snap, take a moistened Qtip (damp - not soaking wet) and run it down the stitch line on the paper side. The perforations in the paper under the stitches suck up the water from the Qtip and within a few seconds the paper has softened and the pieces come off with a gentle tug!!
As to the question about falling apart, I guess it would depend on your paper. I use the cheap copy paper and have at times needed to enlist "Jack the Ripper". The second stitching does not cause the paper to fall away ... but the third one (don't ask my how I know this - lol) does make the paper under the seam weak and somewhat fall apart. The good news is that there is usually more paper around it so you do not have to worry too much.