agree with that if you are useing pcl or simulator connect to the hose side instead of the gunI suspect that is just Devilbiss covering themselves in a world where health and safety has gone mad because of the ambulance chasers.
As above there is the possibility of static building up due to the velocity of the air passing the tip, but to my mind the risk is minimal. Make your own decisions though.
Again, as above, a simple length of wire from the gun to a clean ground should do the job, either to the compressor which should be earthed through the electrical circuit or to the earth pin on a plug. Connecting to the fitting where you connect the gun to the airline should make a nice "quick release" earth circuit.