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I've always been told it can cause scarring trying to dig them out (the pus pocket under the skin is an issue as the non-visible part of a pimple). So it's better to treat it medicinally and keep it clean rather than physically traumatizing the skin and irritating it further.
I'd personally still pop them if it's 1. painful and 2. already formed a head that can be drained directly.
When you use standard popping technique, you're pushing the pus and bacteria deeper into the skin, long before enough pressure builds to pop outward. The pimple is contained until you do the equivalent of injecting marinade into your meat.
Those tiny hydrocolloid acne patches are pretty good for reducing the urge to "fix it" by making it worse.