I would go for it. In most cases retaining photos by a competition body is to cut costs associated with packing, mailing and so on, sometimes just to have "proof of activity" to get government help. You can consider expense of one print as a support for people or city that makes effort to help artists getting exposure. I do not see anything wrong with this. I know one organization in Poland that helds annual juried competition for children art, they get more than 30,000 entries from all over the world each year. Could you imagine expense and amount of work associated with sending all this work back.