teaching - Is it dishonest to guess on multiple choice exams?

I have never seen a thing, until recently, like someone not marking a cross on a multiple choice test just because he didn't know the answer.

I wonder whether this is a East Asian right-thing-to-do mentality, or just a quirk of some student.

Should maybe we ask all students to do this? Indeed, on a multiple choice with 5 choices per question, the expectancy of a student employing pure guessing would be a 20% score. But is it cheating to mark something when you don't know the answer? At least, you are getting sometimes some point for nothing.