Guess my problem with the water dunk is that I associate that with reshaping a glove. But that's a big reason you picked a quality glove and shelled good money for it, the great pattern they have developed. Aso uses it for molding to your individual hand and how it closes with your hand. Do whatever you want with your glove, I don't think it's bad, just don't see it as anything other than a shortcut or geeking out with leather. I don't need it for my glove and I geek out on my leather shoes.
Only potential negative I can think of but don't know that it's bad, is getting the padding wet rather than affecting the leather. I'm under the impression that felt stiffness is due to physical composition and how it's treated. Get it wet and it softens, does part of that glue/chemical/whatever bleed out to the leather, does the felt retain every bit of stiffness once it dries? I don't think it's a major problem if these things do change, just takes away from why you got the high end glove in the first place.