Why not, what's the problem? I've been using them like this for ages without any issues I could remember.  Resolution of symlinks is a rather low-level kernel feature, which should be handled transparently by any modern version of Unix.

PS: anyone interested in how it's done in Linux may want to study the function load_script in linux/fs/binfmt_script.c, which calls open_exec (linux/fs/exec.c), which in turn eventually branches (via path_lookup_open) into the generic path lookup and symlink resolution code implemented in linux/fs/namei.c.