I've never played Vicky MP (Lots of EU2 MP though), but looking forward to do some. With EU2 experience, this statement looks very strange to me.
In EU2, a smaller ally is still a good ally. It can commit an army or two where needed, and most importantly it can draw your enemys attention, and make him engage in a two-front war. A small ally can thus easily tip the balance in an even war. In a Vicky setup, if I were to fight Germany with France, I would be happy to have Sweden helping me, even if they only fielded 40 divisions or so. That is still a major distraction for the German high command. So I would appreciate a small ally very much, and certainly trade lots with them.
Are regular Vicky MP players just diplomatically very different or is there actually some disadvantage in being friendly with smaller nations? Or was this just a tongue-in-cheek statement