I do it. And I'm sorry if it bugs you but for me it's because I'm trying to draw attention to differing cultures between characters as well as how close they are to one another...at one point in my current story a character makes it a clear that their to be called MR. Lee not ssi. And when I switch to his mindset he never thinks of people using those Korean romanizations because it's not his way of thinking. I try to use romanizations sparingly though, just enough to reinforce the characters. I look at it the same way as spelling out things to convey different impacts for the character such as one character would say "shut up" another will say "shuddup" .
It's like- if I had a story set in France and I was in the viewpoint of an american...I would probably make it a point to write the french greeting Bonjour for every shop keeper they run into because it's more than the word hello, in France it is basic manners. A shop keeper will often walk away from you if you come up to them and just start in saying "excuse me I'm looking for.." or they will interrupt you with "BONjour madame". If I was to just use the word hello it doesn't have as big of an impact on pointing out what is going on culturally in the scene. I think it reads better to use the french word but I'm not going to use it every single time someone in the story says hello.
So yeah that's just how I like to write my story.