I don't really see how having a shim between my stem and steer tube could do anything bad. You just can't torque it enough because of the headset... I mean, if you twisted the bars enough to shift the shim you've probably just crashed, have the fork in a vise or have a headset you just filled with JB weld... Shimming the handlebars on the other hand could cause problems as you put a lot of torque on some kinds of handlebars.

And nobody carries headset wrenches, but I can still adjust my headset without them. People with threaded headsets can't.