I have used 10W resistors too. Just because the can handle 10W doesn't mean they won't get hot. In this application accuracy is everything and resistance changes with temperature. That is a fact.
P=IV and V=IR, so P = (I^2)R. That is 9W at 3A. Within the specs sure, but if you are looking for accuracy you don't want to be pushing the maximum limits. So the 10W resistor may work correctly for a while but after it heats up (which won't take long with 9W of power in it) the readings will drift. How much depends on the resistor but If you are using an axial resistor they don't dissipate heat well. Now if you have a 1 ohm resistor in the to-220 package and bolt it to a large aluminum heatsink you will find it can take 3A for a long time without even getting warm. If you use a 0.1 resistor instead it won't even be dissipating 1W at 3A and you have much less of a heat problem to deal with.
Also I was under the impression that the resistor on the jufran test load wasn't rated for 10W? Maybe that is wrong though.
Just looked it is a 5W resistor.