I am invisible, understand, simply because people refuse to see me.
--Ralph Ellison
In the story The Return in Evolutions, the Shipmaster recalls how he captured a human and tortured him into talking and along with a broken nav box was able to find some outer colony (forget the name now).
So maybe there would be some reason to kill yourself?
There's also the proto-gravemind in The Flood trying to get the location of Earth from Keyes' memories. If that was a concern, then maybe you'd want to kill yourself for that too.
I can see why it might make sense, but it's sort of pushing it. It isn't mentioned anywhere throughout the canon that anyone ever killed themselves to uphold the Cole Protocol.