I have left some plywood items unfinished in the past but generally finish everything now. It just cleans up so much easier in addition to looking better. For the the vast majority of my shop stuff now in my newer shop I used melamine. So no finishing needed, assemble and done.
I apply finish for the reasons mentioned above -- protection, ease of cleanup, etc. Shop furniture is also a good place to practice your skills or experiment on something you haven't tried before (e.g., dovetailed drawers). This includes finishing techniques. Better to learn and fail on a piece of shop furniture made of pine and plywood, rather than on a mahogany table.
Thanks for your opinions and replies. Especially the reference to “easy to clean.” I used black pipe for a flip top CNC cart and I have unsightly fingerprints everywhere. I’ll be sure to clean it and experiment with a staid and finishes.
Beautiful shop and cabinetry. I’ve got a long ways to go on organization since the 2-car garage serves as a multi-use space.