Firstly - the word "should" is explained in the Rules in the section "How to use the Rule Book";
"should" means the action is recommended but not mandatory
However, as most players realise, marking your ball helps being in the identification process.
The obvious advantage to marking your ball, and thereby being able to identify your ball easily, is to avoid hitting a wrong ball (Rule 15-3)
If you cannot identify your ball, you run the risk of a situation possibly your ball being deemed "lost", even when it could be right there in front of you
27/10 Player Unable to Distinguish His Ball from Another Ball
Q. A and B hit their tee shots into the same area. Both balls were found but, because A and B were playing identical balls and neither had put an identification mark on his ball, they could not determine which ball was A's and which was B's. What is the ruling?
A. Since neither player could identify a ball as his ball, both balls were lost — see Definition of "Lost Ball."
This incident underlines the advisability of the player putting an identification mark on his ball — see Rules 6-5 and 12-2.
An identification mark is not foolproof. I mark my ball with a pair of red dots on two locations on my golf ball. I still hit a wrong ball from long grass a few weeks back. In the long grass, I saw 2 red dots on a ball. On the green, I saw it wasn't my ball with 2 red dots....
I might add as a final comment, that it can diffuse the possibility of unpleasant situations where some players suspect a fellow competitor has possibly tried to cheat by "finding" his ball, and then another ball of the same (unusual) make is found nearby - that is a debate currently on an Australian website - and lo and behold, neither ball had identification marks.
Regards
Andrew