Where does finite-state machine code belong in µC?

I asked this question on EE forum. You guys on StackOverflow know more about coding than we do on EE so maybe you can give more detail information about this :)

When I learned about micrcontrollers, teachers taught me to always end the code with while(1); with no code inside that loop.

This was to be sure that the software get "stuck" to keep interruption working. When I asked them if it was possible to put some code in this infinite loop, they told me it was a bad idea. Knowing that, I now try my best to keep this loop empty.

I now need to implement a finite state machine in a microcontroller. At first view, it seems that that code belong in this loop. That makes coding easier.

Is that a good idea? What are the pros and cons?

This is what I plan to do :

void main(void)
{
    // init phase

 while(1)
 {
    switch(current_State)
    {
    case 1:
        if(...)
        {
            current_State = 2;
        }
        else(...)
        {
            current_State = 3;
        }
        else
            current_State = 4;
        break;

    case 2:
        if(...)
        {
            current_State = 3;
        }
        else(...)
        {
            current_State = 1;
        }
        else
            current_State = 5;
        break;
   }
}

Instead of:

 void main(void)
    {
        // init phase

     while(1);
    }

And manage the FSM with interrupt