This is true only in a test situation and untrue in every other situation in school. In lecture, in office hours, and when doing homework, if you don't understand something and just let it slip by, chances are you're just going to get more and more lost, whereas if you ask for an explanation, you're more likely to keep up, learn more, and do better on everything you're graded on going forwards.

I see this more as a criticism of test-driven undergraduate academia than as a counterpoint to the idea that people should be more forthcoming with admitting when they don't know something.

Depends on how tests are graded.

The Kangaroo Maths contest (which admittedly isn't a graded test, but the first example I can think of) involves a multiple choice test, where you lose points for wrong answers, and just get zero points for a blank.

The number of negative points it calculated to give you 0 points on average for blind guessing. If you can eliminate a few possibility and guess between the rest, your average score goes up.

The SAT is similar. Quoting from Wikipedia: "For each correct answer, one raw point is added. For each incorrect answer one-fourth of a point is deducted. ... This ensures that a student's mathematically expected gain from guessing is zero."

Or at least from guessing if your knowledge is no better than a uniform random distribution. It would be interesting to design a test, where you could give your distribution directly. For a multiple choice test with exactly one single right answer, that would be easy to do: Give a percentage (adding up to 100%) for each possible answer. (Or to make it more foolproof, allow people to write down any positive number, and normalize by dividing all answers of a question by their sum.)

For multiple choice questions with a variable number of right answers, it becomes harder.