This is not a theory, this is how the big dogs do business. Google, yahoo, Facebook,… The difference that it makes depends on the site. It makes a big impact when your site has a lot of assets (not only images) loading on the same page, and it helps distribute the load in to two- three or four channels rather than one. Web browsers (modern) normally use 4 connections to download information and if you are serving all your content from a single domain, things get hung-up until a free connection becomes available. This is not strictly WordPress, this is how the web works.
Normally, HTTP requests are issued sequentially, with the next request being issued only after the response to the current request has been completely received. Depending on network latencies and bandwidth limitations, this can result in a significant delay before the next request is seen by the server.
HTTP/1.1 allows multiple HTTP requests to be written out to a socket together without waiting for the corresponding responses. The requestor then waits for the responses to arrive in the order in which they were requested. Splitting request can make a dramatic improvement in page loading times, especially over high latency connections.
Some people who don’t have a clue about this practice might say that it increases DNS look-ups, but you are serving all the files from a single server with a same IP address, so that’s not the case.
So the main question is: Is it worth it? The answer is Yes and No. Yes if you are your own webmaster and know when to split and how to split, and NO for clients who publish regularly and don’t have a clue.