Right now there is a command line option which will force cgminer to submit all completed shares regardless of it if thinks they are stale. Of course that puts more work load on the server. Hopefully the next version of cgminer will strike a better balance.
Yes, it puts a little more load on the server. But for creating the most blocks this is the best option.
The miner has no idea how many chains you are merged mining on the server. It doesn't know whether its proof of work is stale or valid for those chains. And it doesn't know if it passes the difficulty of those chains either. Best it can do is just send in every proof of work.
This will make the number of rejected proofs of work go up on both client and server. So it won't look so pretty. But it's the best option for creating the most blocks.