I don't know if it were G or F [I'm] only commenting to say nevertheless I agree with the captain's position of obtaining a 'clearance'---on the princilple of safety--for just as it's legal to Make IFR approaches W/O a FP in class G airspace the risk may not be justified---So it's probably more symbolic in nature
but may give others on frequency a chance to hear you're intentions as well---if it were class F [weired uncontrolled RADAR airspace outside of USA] then the benefit may be more apparent--and not to sound gloomy--if an incident should occurs it demonstrates that the flight crew took ALL possible measure to assure SA
Other I'm sure will provide greater detail---but from your description of the situation --I'd say why not---on the other hand what if you couldn't get 'clearance'---interesting situation
CAVU,
PA