Depends on what specific advisory you're talking about. Eating fish out of Crabtree Creek in Raleigh? Not a good idea. I think Japan eats a lot of fish from the ocean which is probably healthier than fish from local rivers and lakes. A lot of inland water has been polluted from industries and power plants, I would trust those advisories! And yes, they do studies and take samples before setting advisories. There was a time when Crabtree Creek had no advisory, then they went and did some samples, and what'ya know, massive pollution.
I did some research on this because I wondered why fish in lakes have advisories. I can understand creeks and rivers near plants, but why lakes? Here is how the pollution works:
1. Coal-fired power plant emits poison such as mercury into the air
2. Mercury lands on the water everywhere
3. Plankton and bacteria end up consuming those poisons
4. Baitfish feed on the the plankton
5. Gamefish feed on the baitfish
Also, once the poison is in a fish it doesn't leave, so fish slowly build up the poisons over time until we catch and eat them.
Mercury Contamination of Aquatic Ecosystems