I was on 100 mg of Zoloft per day for over a year and I drank on a regular basis (2-3 times a week) throughout. I noticed nothing out of the ordinary. I never got extra fucked up or blacked out. I know a couple other people on Zoloft and they also drink with no problems. I think alot of it is that the doctors think that since alcohol is a depressant, that it will hinder the Zoloft from doing its job helping your depression, anxiety, Bi-polar disorder, etc...
Valium is different. You can drink a little on it but it has a great effect on the alchohol or vice versa. Black outs and extreme mood swings are common if you drink too much. I think it is fun to have a couple drinks after you have eaten some benzo's. However, you have to be careful and don't drink too much. I've seen some people do some really fucked up things while on the alcohol/benzo combination. You lose almost all inhibitions and the thought of consequences is non-existant. I've seen the most passive, friendly, and shy person turn into a violent, egotistical asshole. Also, you run the risk of passing out and choking on your puke.