Smokey,
Of course there's the legal "liability" issue (opening a hot smoker), but I would not be deterred by a sign on the door, if I felt the need to pre-heat. The fact is, though, I don't. Here's why:
First, cold meat absorbs smoke better, so I want to keep the meat cold as long as possible. If you start with a cold smoker, and meat right out of the fridge, the time it takes the meat to hit 140 (about the point when it's not absorbing much more smoke anyways) will be longer, thus better smoke penetration. If you pre-heat the box, then add meat, you're probably cutting that time in half.
And, as mentioned by SuperDave, your wood will get going during the initial power-up. If you pre-heat, you're going to lose 30-45 minutes of good smoke on the meat.
Bottom line? This is not like other smokers. Put your wood, and meat in a cold smoker, close the door and set your temp. Lazy Q at its finest!