Yup, I'd be one of the people who was annoyed not to get paid to my own address. However, as you said, the fact that I can make an account for free and withdrawal without fee (or verification procedures) certainly mitigates this. Still, my feelings get a little wounded if I feel like someone is trying to manipulate me or take advantage of me (which is a feeling I get if they want to pay me in a way that feels like they're trying to get me to spend it right back to them).
I'd look at it like if you wanted to gamble with your sig payment, you save on transaction fees you'd pay when you deposit bitcoin. Personally, I wouldn't mind that much as long as the payment would be increased by the amount it costs to withdraw the bitcoins. Or maybe just remove the withdrawal fee for 1 withdrawal each time you receive a sig payment.