Krodal:
There is no problem with the Voltage Regulator.
On the Arduino Uno board, the voltage supply is flexible. Either +5V on the +5V pin, or an adaptor to the voltage regulator, or USB power.The onboard voltage regulator could get hot. And the USB power is often less then 5.00V and only 500mA. If you need more current from the 5V for your project, and external +5V power supply is needed.
A zener is not a voltage regulator.
he is referring the the current warning the arduino product page for the current Uno and Mega boards:
5V.This pin outputs a regulated 5V from the regulator on the board. The board can be supplied with power either from the DC power jack (7 - 12V), the USB connector (5V), or the VIN pin of the board (7-12V). Supplying voltage via the 5V or 3.3V pins bypasses the regulator, and can damage your board. We don't advise it.
Vs the older definition the arduino folks used in their older boards:
5V. The regulated power supply used to power the microcontroller and other components on the board. This can come either from VIN via an on-board regulator, or be supplied by USB or another regulated 5V supply.
I'm aware of no official reason given for their change of recommendation on the use of the 5V pin.
Lefty