Thought I'd share my experience here. I'd always heard it was the preferred method, but also heard an occasional argument saying it would fray the edges.
I took a small scrap piece to my local shop and had them cut a trial circle out. The shop was doing me a favor and putting me on between jobs of cutting 1/4" (6.35mm) steel, so they did not change the setup at all for my 2.5mm material. The results would be better if they had.
The only downside I could find with it is a slight clouding in the finish around the edges. This was caused by overspray of the abrasive. It would be lessened had they setup for my thickness. Otherwise a layer of plastic wrap or even masking tape on the material first would prevent it.
Here are the pics. Only the two circles were a result of the waterjet. The rough edge cuts are mine from a Dremel.
