@Sean ******
Please share with us the story where it happened. Because it is always the same 2-3 people that say exactly the same about that. It is very complicated for the immigration to see if you applied for a visa and come back on visa exemption. A wise officer might spot you were in the country at the time the visa was issue but there is no explicit law that forbid you to come while you are waiting the visa...The general rule is : You must apply for a visa from outside Thailand. That's it.