Well if QFE is good enough for the RAF it is sure good enough for me..
Incidently I was once failed on an IMC test for not setting QFE!
Seriously though I admit it was the way I was taught way back in the early eighties to always use. I now cannot see me using anything else. I don't give a stuff what ATC tell me QNH or QFE, regardless I will always use QFE. To me it is just logical...set pressure to give me the altimeter reading zero when I touch down on the threshhold, just tell me what could be simpler!