I agree with VHG. The My Documents folder (and sub folders) is the logical place to keep your documents (and other data). Moving stuff to there should not cause a problem, unless of course you had programs that were expecting to find their data in a particular location, and you moved the data without telling the programs!
As VHG says, it also makes it a lot simpler to backup your data.
Having said all that, I can't imagine why Which? magazine concludes that data in My Documents is less likely to be lost in a crash, unless they are also recommending that you regularly back up the My Documents folder. If that is not the case, the data stored there is just as vulnerable as any other data.