It is important to mark an answer for every grid in a question on the SAT because leaving a grid blank scores as a wrong answer. For every incorrect answer choice selected from the 5 options provided, 1/4 of a point will be deducted from your total score, while blank (or omitted) answers will cause you to lose the full point for that question.
By attempting every question, even if you are unsure of the correct answer, you have a 20% chance of selecting the correct answer and avoiding a full-point penalty. Therefore, it is always advisable to mark an answer for every grid in a question, even if it is just an educated guess.