MickeyC, you're right about it being zero-parallax. The word I meant was refraction. Parallax is an issue caused by motion or movement of the point of observation. Refraction will occur any time that light passes from one medium to another (like air into the lens of an EOTech and then back to air). Because the light travels from one medium into another then back to the first, the difference is minimal (because it re-refracts). This is especially true for perpendicular light passing through the mediums. However, this is minimal, and I don't think it would affect the zero of the BUIS.
However, it doesn't hurt to sight in the BUIS in the same manner that you would be using them. Since you would use your BUIS through your EOTech (should it fail), it makes sense to me to sight them in that way. I guess that's my personal preference, but it eliminates any potential issues, however small they may be.