What is the penalty for not keeping those addresses locally? (Assuming I write a client that does not keep the list).
I'd have to look at what the consequences are. I suppose in principle you could simply not send addresses. You would be compromising the stability of the network.
There is an economic incentive to download the blockchain but there is none to download a list of IP addresses (which could grow into the millions) of which only 8-150 will ever be needed for most clients.
Keep the 500 most recent then.