A lot of them do pay out, but when they do it's peanut dust and very rarely worth your time.
You could use a deposit address on exchanges/gambling sites to receive those dusts, and send a consolidated payment to your own wallet every once in a while.
Why would you need to?
So to save some tx fee.
If you try to spend those dusts, you may need to pay more tx fee than the dusts themselves.
But, if you use a deposit address to collect those dusts, and withdraw the whole balance when you get, say, 0.01btc, you only need to pay 0.0001 for that withdrawal.
Instead of getting thousands of dust inputs in your own wallet, you only get a piece of 0.01 bitcoin tx.
Why would you bother to pay that transaction fee at all?
Just have the dust payments sent to your wallet,
doesn't hurt anything, clutters up your wallet a little maybe.
The dust adds up in your wallet, same as using an exchange or gambling site...