The number one priority in the case of an inflight fire is to put it out. In the case of a single engine helicopter this, sadly, means shutting the engine down as the primary means of achieving this! I'd agree with the CAA view point.
Have a think about what's in the immediate viscinity of an R22 engine bay that's burning: tail boom attachment, fuel tank, tail rotor cables?
For anyone in doubt about how bad it is to be on fire in the air, google the Swissair MD-11, the Everglades DC-9 (Northwest Airlines?) or, closer to home, the Bristow Coastguard S-61, G-BBHM, in 2002 (landed 83 seconds after first warning, MGB fell through ceiling 3 minutes after warning!) and so it goes on.
Fire is probably the single common danger facing pilots since the beggining of flight.