Infopath 2003 has it too, and I always have it checked.
I have some similar forms, where one user opens and submits, then another user opens and submits, nut there are no issues there. I've worked out that the key difference is in the other circumstances people are opening the specific entry they intend to update before they update it.
What I'm doing in my current form is basically saying that I want to submit to a file named, for example, "Monday", and I don't care if the file exists or not because each Monday the information inside corresponds to the Monday of the current week - so if it's not there then create it and if it is then overwrite it. What I don't want to have to do is open up the record for Monday in order to make my changes, because in fact there are numerous files for Monday, each with the day pre-fixed into the filename. Doing it the way I am doing it allows me to have a list of my files, and to hit one of three status buttons for each file, which instantly submits to show that, for example, 'file X has arrived for Monday'.
I do have a couple of plus points. The issue doesn't occur for people amending a status for which they were also the previous person to amend it, and for the most part it will be the same person per each day of the week. But when one is off and another use has to do his file checks, he gets an error pop up for every change, and so will the original user next time he tries it.
The other potential plus is that we're *finally* moving on up to MOSS and Infopath 2010 at some point in the next couple of months, so if it's a peculiarity of Sharepoint (which I'm inclined to suspect, given the way it first denies permission and then grants it) hopefully the issue won't be present in 2010.