I just like the lemon-fresh scent of my Pledge lubed pellets ;^). I like the fact that they foul the bore less, and that the spreads are tighter and more consistent. It's really just a matter of whether you want to do it or not. I don't really like any wet, oily lubes on my pellets, or anything else, for that matter.
If nothing else, Pledge keeps my pellets from developing that white, lead oxide film, as I like to keep one pumper and 3 tins of pellets out in my shop.