Growing up in Chicago, there were constant debates about this. Cubs fans throw home run balls hit by the other team back onto the field, White Sox fans don't (and they'll boo people who do). Each considers the other barbaric.
Personally, I think throwing balls back onto the field is dumb. The only ball I have ever caught at a baseball game came off a bat of a player I truly despised, Jeff Kent. I still kept it because how cool is it to catch a ball at a ballgame? If you catch a ball you don't want, give it to a kid: you'll make their week!
Judge missed me by just a few rows when he hit a HR at Nationals Park during the 2019 All Star game. I definitely would have kept that one too!