One con is that if you ever need warranty service and they replace it, you'll get a refurb without the engraving. So just don't be too attached to the engraving. I've never gotten any of mine engraved, but my mother did as a present, and was upset when they replaced it when it died with one without the engraving.
I am surprised they did not give you the engarving. I just know Applecare took care of a nano of my friend's and it came back engraved.
When it's engraved, it's so hard to sell. It makes it worth a significant amount less. But if you are going to get it engraved, make it something worthwhile and personal that won't be blown away with future trends.
My favorite engraving that I've seen:
Bomb Installed:
Steal at your own risk!