EOS utility is the best, imho. LR fails because it's definition of "new" is "whatever is not in the catalog", which means it won't respect that you have already rejected a photo that might still be on the card. I know the LR experts all defend LR download capabilities but it just doesn't work for me.
If you are careful enough to keep the USB connection safe, while working around the USB cord, the camera, and the computer, then you can certainly be to be trusted with R&R'ing a CF card. The CF card mechanics are so robust I'd suggest the risk of damaging a USB pin on the camera is 100x that of damaging a CF card slot on the camera.
But, to be sure you are right about preferences and whatever works. I used the USB cord method for 7 ish years and 75,000 ish photos on my 40D, and I didn't damage a single cord or connector on the camera. either one works.
Another reason I switched to the card reader method is that the 5D3 doubled my data xfer needs, and the "in camera USB" method is pretty s...l...o...w especially for large cards that can hold over 1000 photos.