Hello Gareth
The main issue here has to do with control. If you have two AS’es and you configure one BGP router from each to become eBGP peers, then what happens on the network between them is important. If they are directly connected, then that means that you control the network fully from AS to AS down to the physical level. If they are several hops away, it may be that the “in between” network is not under your jurisdiction, and you are running over a third party network. Or even if it is your network, the sharing of your thousands of BGP prefixes depend directly on the stability of that network. In either case, you are adding unknowns, variables, multiple points of failure that can impact your BGP routing.
Remember that if you are configuring AS’es and interconnecting them using eBGP, it is highly likely that your network is supporting hundreds or even thousands of users using mission critical services for their businesses. Having your eBGP routers directly connected goes a long way in ensuring high availability and robustness of your network.
A similar question was asked above, and the following answer to that question may shed some additional light on the subject.
I hope this has been helpful!
Laz