Is it dishonest to guess on multiple choice exams? I have never seen a thing, until recently, like someone not marking a cross on a multiple choice test just because he didn't know the answer. 

I wonder whether this is a East Asian right-thing-to-do mentality, or just a quirk of some student. 

Should maybe we ask all students to do this? Indeed, on a multiple choice with 5 choices per question, the expectancy of a student employing pure guessing would be  a 20% score. But is it cheating to mark something when you don't know the answer? At least, you are getting sometimes some point for nothing.
Should maybe we ask all students to do this [refrain from guessing on multiple choice exams]?


Some multiple-choice exams use negative scoring, where points are deducted for wrong answers. This discourages guessing, but introduces other problems. 

One problem is that students who know the material vary a great deal in their confidence in that knowledge. If students are actively discouraged from answering questions unless they are sure they know the answer, students who lack confidence in their knowledge will be at a disadvantage. (I'm assuming you want the exam to measure student's knowledge, and not their confidence in that knowledge.)


  But is it cheating to mark something when you don't know the answer?


Not unless you're told "Don't mark something if you don't know the answer." Cheating implies deceit - there is nothing dishonest about guessing, unless it's forbidden and you do it anyways.