It isn't better per se. It is a feature nowadays confined to banks and people who can afford such "features". In a firm that generally takes on that kind of stuff there may only be one or two employees capable of doing an artful job of it.
Few joiners will realise for instance, that hardwood plugs sent out on site will if they have been bought in, come in a box that is a from a different country to the bit of tree they are actually tittivating.
What I do with plasterboard is glue with any-such-a mastic and pull the board off to see if the mastic has clung to both wall and board. It is the nearest you can get to a "rubbed joint" with skirting boards.
MDF needs to be pre drilled and counterbored whatever type of screw you use, that is why I suggested a paslode earlier.
Lay the board in situe, slap a straight edge along it and see where the bits touch. Drill there; once you have found out where the pipes and wires aren't, glue and fix.
Then run along the top edge with caulking.
I use those black screws designed for tin studding. They will pin the boards to the plasterboard without needing anything more solid behind it. How long they will hold is not important. The glue will have time to set in a few hours.
You can caulk it, fill the holes and paint it straight away.
The biggest problem with wide boards is something called "cupping". MDF is safe from that. If you are using real treewood you need to use pairs of screws if you are not going to glue it. You will also need to check your insurance in case you hit a central heating pipe or something.
You only need to put a glue "soldier" where the screws are going
-rather than slather the back of the board with mastic. A dab every metre or so is quite sufficient.
Talking about glue, use PVA on the joints. And don't forget to pin mitred corners -not like I just remembered I didn't today. (OOPS.)