It's true. The quick release is actually able to compress the axle a small amount.

I know this for an absolute fact because of the way I check my bearing adjustment. I clamp a stack of washers to each end of the hub with the quick release, when the wheel is out of the bike. Then, with the skewer closed, I can twirl the axle in my fingers to see if it spins freely but with no play.

The washers don't have to be exactly as thick as the bike's dropouts to simulate the clamping force you get. I simply readjust the skewer to start clamping at the midpoint of its stroke when I change from bike to washers or washers to bike.

Of course, if you have solid, nutted axles without a quick release, you definitely want to take all the play out.