Those install guides are for previous version of the linux kernel.
Full plug and play support is a fairly recent addition, but it works well now.
And there is no "Windows Plug & Play" per se; it's an "open" standard. Designed by Microsoft for Microsoft, yes, but it needs to be open so that hardware makers can meet it. So linux meets the same standard now.
Well, my computer works a lot better with Plug And Play OS set to "yes" in the bios, at any rate.