This does work exactly the same way, WoW does load the files. The reason for this request is that:
1) A user traditionally expects all UI modifications (whether they are AddOns or skins) in the WoW\Interface folder. Placing files in WoW\Data is unexpected, and a user can easily overlook/forget about them.
2) The contents of the WoW\Interface folder takes precedence above everything else.
3) It retains the simple and basic troubleshooting step of "deleting or moving the Interface folder" to restore the default state.
4) Technically, Blizzard only allows modification of UI files by placing files in the WoW\Interface folder, other means are against the EULA, to my knowledge.