In case you did not notice this is video not stills section
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Unless you have no way to convert it in post, no it is not worth doing directly. Shooting in color gives you options when you convert to black and white.Err...if you're shooting in RAW (isn't everyone these days?)....you should still have all the information if you want, so even if you set the camera for B&W the RAW image if you bring it off..you can turn it back to color if you want....RAW should have all the information no matter what 'format' or style your shooting in...right?
Some people like shooting with the camera in B&W mode. It's less flexible, but it helps them get into the B&W way of seeing things. But everybody is different. Try it and see what you think.