Obviously, if you can do that, it's a better way to go. However, like was said before... chances are the fish you are ultimately going to want in your tank won't be suitable starter/cycling fish. However, I have heard of people cycling their tanks with clowns, and we all know how popular clown are, expecially among reefers. Also, I know more than a few people who have chromis in their tank (me being one of them), and I know people have cycled their tanks with chromis too.
So it certainly can be done, but it doesn't have to be that way. I cycled with common damsels, and returned the to the LFS when my cycle was finished. That's probably what most people do.