That is actually a good point. Are they not legally required to send you a receipt? (You being the generic person that are paying for a service or goods).
It's not a convenience question. Either they throw it away for you, or they put it in the bag and you throw it out yourself. Maybe even with the bag.
Then I realized, it could only be because they hope for you to agree to making the item no longer returnable. No receipt, no return. So you (potentially) only shoot yourself in the foot by saying no.