I tend not to ask for direct routings unless I really need them.
If it's something like......."I'm trying to get back before an airfield closing time which could result in a diversion and 100+ displaced passengers" then I'll ask for as much as I can get away with - generally when ATC are aware of the problem they are very helpful.
It doesn't feel right to constantly ask for direct routings, if it's given then great, if not then we fly the route we're planned for. One thing that I will always consider is how busy ATC are at the time. By asking for a direct routing in a busy airspace it might finally be the straw that breaks the camel's back - if ATC make a mistake because of it well.... 'it's could possibly be me and my passengers who will pay the most for it'.
One thing that does annoy me though is when I'm planned to cruise at say FL370 from Malaga and are given FL310 until leaving Madrid ATC, that's a lot of extra fuel that is not planned for. I'm not sure if it's my company's fault or ATC's but someone must know this info. BEFORE the ETD and it would be safer to receive it before we decide on the fuel !