Most semi autos are not made to be loaded this way. Put one round in mag and load from mag. Trying to load like you are may damage the extractor.

right you are sir...i just cant figure out why they have instructions for it in the manual....doesnt make any sense to me but at least now i know.

The PX4's have a very healthy spring and extractor, more so when brand new, and yes, this is not recommended as it may damage and/or wear out the extractor prematurely. Try sling-shoting the slide to give it as much force as possible for the extractor to ride over the rim casing, but why you would want to do this i don't know, but for maybe being confident in an emergency situation where you may have a damaged or lost magazine, no backups, and need to load in a round one at a time. My manual likewise says you can directly load a round in the chamber, but i choose not to monkey around doing that as it sounds like a good way to get yourself an accidental discharge if you're not careful as well as a damaged extractor. If i had to do it in an emergency, rest assured I'd sling shot that baby home as opposed to the slide release, but as your spring and extractor wear a little there should be no problems doing it either way.