As a general rule, if you've got memory leaks that you feel you can't avoid, then you need to think harder about object ownership.
But to your question, my answer in a nutshell is In production code, yes. During development, no. This might seem backwards, but here's my reasoning:
In the situation you describe, where the memory is held until the end of the program, it's perfectly okay to not release it. Once your process exits, the OS will clean up anyway. In fact, it might make the user's experience better: In a game I've worked on, the programmers thought it would be cleaner to free all the memory before exiting, causing the shutdown of the program to take up to half a minute! A quick change that just called exit() instead made the process disappear immediately, and put the user back to the desktop where he wanted to be.
However, you're right about the debugging tools: They'll throw a fit, and all the false positives might make finding your real memory leaks a pain. And because of that, always write debugging code that frees the memory, and disable it when you ship.
