I've heard a few different answers (theories) as to why you should use different temperature liquids to the roux, most of it's related to starch gelatinization. I'm also not a fan of scalding milk when I don't have to, as it can bubble over if you don't pay attention and/or taken on a bit of a scorched taste.
I've always added cold milk when making a bechamel in part because that's the way I learned growing up, but if I'm thickening a gravy I'm generally using warmer liquid (drippings, let to sit so you can separate out the fat). I rarely use a roux to thicken something near a boil ... for that, I'll use a slurry.
There are differences when dealing with adding cold liquid to a roux -- you need to add the liquid slowly, and stir it well before each addition, which also gives it a chance to come back up to temperature. Of course, I recommend always adding the liquid slowly, as I find it easier than trying to work out lumps afterwards.