I do it all the time when its a bit treating the edge face of the wood, like a flush pattern cutter or moulding slot bit. If it's bit cutting the corner, like a round over bit, you can just raise the bit for the first cut and then make a final pass at the final depth.
Not necessary for mdf, but particle board and plywood have some pretty nasty, dense glue. Also hardwoods. It's just a feel thing. if it drops easily all the way to the bearing depth, go with it. If it's smoking or not maintaining speed, give your bit a break by letting it go shallower.
its also useful if you are in a position where you have to make a clockwise climb cut rather than a proper counterclockwise pass.