When I bought my last PSU and GPU it also came with a diagram like this, so that's how I plugged in the cables. I guess its better to balance the power draw for the GPU over both the GPU ports on the PSU, rather than try to pull it all through one cable.
The annoying thing for me was that my PSU (a Seasonic) didn't come with single GPU power cables, and only came with the ones with 2 ends, so they're a little ugly just hanging there.