This has become someone of a fad from time to time. The idea being of you work and socialize in high heel shoes, then why not do a workout in them to become conditioned to using them. The advantages are that you become more stringer and stable in the shoes that are inherently problematic, so are less likely to develop a problem. The disadvantage is that, the changes of a injury from a fall are high and maybe you should be working out in something that you do not spend much time in to get a more rounded muscle fitness from using different muscles. I do not know what to think of this except that if you are comfortable doing it, then do it.
Famous Words of Inspiration...
"A radical is a man with both feet firmly planted in the air."