I believe you are right in that at that instant you hit play a few things have to go down before the sequencer can start playing back, midi and audio. And having midi note data right on the first measure can sometimes get corrupted or not play etc. If there is any chance of that then starting at measure 2 or 3 is a good option as it simply eliminates any possibility of anything going wrong before the first midi data is sent or audio is heard.
It certainly seems to have a much stronger effect on midi data in general. eg if send a large chunk of controller data at the start of measure 1 then some notes may be overlooked in the process. At measure 3 all the midi controller data will be sent followed by the note on and you will hear it.
(even it is slightly late) Many will work much more so with audio and therefore can have no issues with this but those who are using a lot of either external or internal VST midi data then this can be an issue.
Turning internal VST midi data into audio early is probably another way around it. But it should not pose a problem starting on measure 3. It ensures many things can happen comfortably before the music starts. If you are working with charts etc you just have to make sure the measures are correctly numbered on the charts to match the sequencer.
Another good reason to start on say measure 3 is a situation where you might want to advance a midi track and make it play slightly early to compensate for any latency in that particular synth may impose.
(VST or hardware, they all need some time to make a sound) Not only for latency reasons but you might just want a track to sound a little more urgent by advancing it against the grid timing. I fine tune midi track timing all the time. The music can sound a lot better just for it. If you start an arrangement on bar 1 you will never hear those first notes. But by starting on measure 3 especially if you cue a bar prior you will always hear that first note if it is there. Advanced or not.