If you can be bothered to do it, and there is an outside chance you may want to unlock in the future, then you probably should... If you will never ever be interested in unlocking, there is no point. So it sounds to me like you probably want to...
The only downside is that the modem firmware (baseband) is software just like IOS, so when new versions come out there can be improvements to performance, stability, as well as the usual patching of exploits. As an example, a bug in the baseband may cause calls to be dropped intermittently. If this is fixed in the next version, you will not get the fix if you are preserving an old version...
However, in practical terms, there is very rarely an improvement which is noticeable between baseband versions.