I don't see a problem with sun depending on what the graft is wrapped with. When I top work a tree in the ground, the new grafts get full sun and it's not a problem. On the other hand, if I graft a young seedling and then cover with a plastic bag, it needs the shade because in full sun the bag will heat up too much and kill the tree.
It also depends on what you are grafting. Mangos seem to be very forgiving.
Edit: Another reason the shade is beneficial is to maintain moisture levels. In the sun, a young seedling that was grafted may dry out too quickly and then the graft will die. So that's another factor to consider.