Works for me...
I have three Solwise 85Mbps adapters. One is plugged straight into the wall, one is plugged into an multi-way extension lead and another is plugged into a multi-way with built in surge protection. They all work fine (obviously, or I would have tried something else!!).
I suspect the manufacturer's concern is that they can't guarantee the devices will work with ALL surge protection or multi-way plugs, so they choose to advise you not to use them to avoid a slew of returns.