Hi Scott,
This is definitely a collector preference thing.
I have gone both ways, depending on the item.
Personally, if I believe that getting a game used item would enhance the "cool factor" for my own collection, I do it.
Other game used collectors are purists and would prefer that an item not be altered from it's original game used state.
One other point that I would make is although I sometimes add an autograph to an item, I would not add a modern signature to a vintage piece, especially if the players' signature has changed significantly. My bias is period piece = period signature. I know other collectors that feel the same way, BTW.
As you did with your Zunino example, I would consider the additional cost of getting an item signed and what potential benefit would be if you ever resell it. As much as we don't want to think about it, we will most likely eventually sell a collectible, so having an exit strategy is likely a good idea. If you plan on taking an item to the grave with you, do what makes you happy as a collector.