Etheric projection in reference to the Subtle Body theory:
Actually it's very possible to go to Etheric projection before mastering Astral projection. However I do agree it's not normally suggested because as explained just above, Etheric projection is a lot more complex than Astral projection and prior experience in conscious Astral projection makes things a lot easier (usually). Along with that it provides less possibility of serious danger.
Etheric projection is not solely working with the astral body. The Etheric body is a portion of consciousness all on its own. According to the Subtle Body theory there are a number of specific portions of consciousness: the abstract mind, the concrete mind, the astral body, the etheric body, and the physical body. Each of these differing in density and vibration frequency. If the goal is to maximize vibration frequency then the Etheric body can in fact achieve independence from the Physical body. The higher the frequency and density the more of the conscience the subtle body includes. This means that while etheric projecting you are technically mental, astral, and etheric projecting all together. This also explains the Etheric body (not the Astral body) taking on the vital signs of the Physical body (which the Astral body is actually incapable of doing).
Beyond that I completely agree with the two members above me, I would personally listen to them and work on Astral projection before you go into Etheric projection.
There are a few reasons besides safety and ease that you would be wise to do this. One being that Etheric projection I agree is an advanced form of astral travel often used for more than astral exploration. If all you want is to simply explore the astral planes Etheric projection is certainly not the practical way to go. It has deeper, more prominent purposes like enlightenment and other types of ascension.