That's the argument I've always used, occasionally with examples from recent auctions where one bidder's "max" bid went from $50 with 3 days left to $80 with 20 minutes left to $120 with 10 minutes left, etc...
If their "max" bid is $50, and you don't outbid them until there's 3 seconds left, they don't get a chance to CHANGE their "max" bid.
Also, if their max bid is already at $120 early, YOU don't get a chance to rethink YOUR max bid, and pay more than you really wanted to, just to win.
The downside to that is that I've lost alot of auctions that went for $0.50 more than I bid.
You don't know what their real maximum was in that case though, so I always assume it was alot higher than I would have bid with a "new" maximum.
The only ones I really get mad at are when my cable goes out while I'm trying to snipe.
That's happened to me about 1/2 dozen times, and I've seen items go for $0.06, when I was TRYING to bid $15+ on them.
I've usually ended up having to spend $15+ to get the next one that came up.