Why not do it? How much effort is it to mark a disc? Even if there's a slight chance it gets returned, how could it not be worth it?
Unless you hope to sell it later, or just aesthetically prefer a clean, unmarked disc.
And if you care about these things, but still want to play tournaments, note that the mark can be pretty inconspicuous. Doesn't have to be your name. Could be just a couple of dots inside the rim, not likely to affect either.
I agree. I put my name and PDGA#. I play a couple private courses that the owner does the pond diving and have a lost and found. I have no reason not to mark my discs.