I always have one attached to my cat. I never want to have the experience of suddenly wondering, WHERE IS HE!?!?!
So, yeah, I can see why it could make a lot of sense to use a tether on small kids. Not necessarily all the time. And not in place of a life jacket. If junior goes over, it's probably best if he floats, tether or not.
The only downside I can see is getting the line tangled up on everything. Could be both a hassle and a danger. And I suppose if kids can strangle themselves on the cords attached to window blinds, no doubt they could do the same with a line tied to a harness.
Hey I'm a lot of help, huh? Bottom line answer is: I'd do it some of the time, depending on conditions and distance from land. In the end, there's always risk.