Certainly it's not wrong. It's a matter of personal preference. Me, I'm all for paragraph spacing on the computer screen, and it's not so bad in nonfiction books, but I absolutely detest paragraph spacing in novels I read for pleasure on my kindle (I've recently been thinking of getting a Kobo reader as well, I've heard they're more customizable than Kindles, but haven't yet). Off they go from every novel I buy, if it has them. The same goes for embedded fonts (I prefer sans-serif), paragraph indents bigger than 1 em and huge line spacing. Generally it takes a couple of minutes to fix a book, unless formatting is a total mess (I read quite a lot of indies and self-pubs, and they're often not particularly well formatted).
I do not mind those things so much in a paper book, but for some reason they bother me terribly when I read on my kindle. Possibly it's because the screen is smaller than the page of an average printed book.
But it's my personal preference and everyone who wants paragraph spacing is welcome to it.
Fortunately, it's as easy to add spaces between paragraphs as it is to remove them.