Rick, going as far as saying "the only one" overlooks the use of a steady rest.
I will grant that long thin spindles are hard to support, and that most steady rests for wood lathes, whether commercial or homemade, are not designed for thin pieces.
However, earlier in this thread I posted a link to a site with one easy to build rest designed especially for long thin spindles. It essentially does the same thing your fingers would do: supports the spindle from the back, top and bottom.
Also, there is a type of steady rest that can be build with a circle of wood and string. It is a little more cumbersome, but will work also.
Frankly, I don't think steadying a thin spindle with your fingers is any more dangerous than turning a large bowl where a catch is possible with all possible consequences. I think somebody at WC was worried about beginners trying it.
Just my 2 cents. . .