For that particular recommendation I can see arguments both ways - mind you I keep tests separate myself but I'd be interested in reasons for keeping them together.
I find you do want to find components through your editor (e.g. <cmd>+p in vs code) Finding lots of index.js doesn't help. You will in effect create a Component/Component.js but also use Component/index.js to export the Component.js
Also if you use Jest this sort of falls apart.
For tests that go beyond small (unit/spec) level we have a project level tests folder because these tests make use of multiple modules and it wouldn't make sense to place them closer to the code.
Someone else in comments mentioned cohesion - that's another way of thinking about it.