> Should maybe we ask all students to do this?

Some multiple-choice exams use negative scoring, where points are deducted for wrong answers. This discourages guessing, but introduces other problems. 

One problem is that students who know the material [vary a great deal][1] in their *confidence* in that knowledge. If students are actively discouraged from answering questions unless they are sure they know the answer, students who lack confidence in their knowledge will be at a disadvantage. (I'm assuming you want the exam to measure student's knowledge, and not their confidence in that knowledge.)

> But is it cheating to mark something when you don't know the answer?

Not unless you're told "Don't mark something if you don't know the answer." Cheating implies deceit - there is nothing dishonest about guessing, unless it's forbidden and you do it anyways.


  [1]: http://www.timeshighereducation.co.uk/159581.article