There are two reasons for the advice to run direct to the battery:
Minimize the area enclosed by the power connections. This reduces both interference picked up by the wiring, and inductance (which is undesirable in power supply connections).
Minimize resistance. A radio can be a fairly heavy load as car accessories go, so you want to avoid any voltage drop you can, and the chassis may not give you the best conduction to the battery.
Neither of these is a reason to wire specifically to the battery per se, only to avoid using a completely different conductor (the chassis). According to K0BG.com, a site dedicated to mobile amateur radio, some modern cars have electrical systems in which you shouldn't wire direct to the battery terminals, for example:
The use of these sophisticated subsystems have necessitated the
relocation of the ELD to the negative lead of the SLI battery as shown
at right (surrounding the battery ground lead), and below right
(incorporated in the battery negative connector). The photos are of a
2014 Nissan Titan, and 2013 Honda Accord respectively, but other makes
are similar such as Ford's F150 shown below at left.
Ford's Battery Monitoring SystemIt should be obvious that transceiver
ground connections cannot be made directly to the battery as
recommended in the past, as doing so would bypass the BMS. Thus in the
examples shown, the negative lead would be attached to the battery's
chassis connection point (Titan), or on the ground side of the ELD
(Note that the reference to connecting to the chassis is to the point at which the battery is connected to the chassis, not elsewhere on the chassis.)
The article goes on to say, after discussing other possible complications:
The bottom line here is, if in doubt, read your Service Manual, or contact your dealer's service department before undertaking your installation.
Learn how your vehicle's electrical system works — specifically, where it is safe to tap for a high-current accessory.
Run a dedicated, fused 2-conductor power cable between that connection point and your transceiver.