My reply is based on what you are using the keggle for as follows:
HLT - It really is not THAT important to drain the last drop out of it. I perfer this as, during normal use, it does not let me have my keggle dry + fired. (I actually wish I had a side pickup tube for my HLT because I do use it as a BK for smaller batches.
MLT - This is a siphon issue like others have mentioned. You are only going to get out what you can.
BK - This is perfered because of hop + break material. Once you drop in an IM or start running through a CFC, you will get cold break as well. IMO this is just extra crud that you will want to keep out of your fermentor. Also the dry fire thing as mentioned in the HLT above.