Making stock from oily fish is often advised against, but what is the big deal? Does it just taste really bad?
Salmon or Tuna will make a very strong flavoured stock and will have lots of oil that coat your tongue. Not what you're looking for if you want a light brightly flavoured fish sauce.
In a traditional French kitchen you want generic stocks (fish/brown/chicken/veal) that are able to be used for a wide range of sauces/dishes so having a salmon stock around doesn't meet that criteria.
That said, I worked at a restaurant that made fish stock from salmon bones all the time as it was mainly used in a house specialty, a very robust West Coast spin on Bouillabaisse. Any true Frechman would have turned his back on us in disgust for doing what we did but damn it, it tasted great and the customers loved it! For any other fish sauces we used the traditional white fish bones.
FYI...Japanese dishes use Bonito flakes (tuna) liberally to make dashi(sp?) which is a fish flavoured broth for miso soup as well as other items.
So basically what I'm saying is if a fatty fish stock gets the job done for you and you're happy with it then go for it. Just remember that if you're trying to make a classic recipe then using a non-traditional ingredient will mess it up.