I take them off because I don't ride after dark, and because I can feel their unbalancing effect on wheel rotation. The last ones I removed were opposite the valve stem, which on most rims is also the same location where the rim is welded together.

I've never cut apart a box rim to see, but I'm thinking there may be an alignment key of sorts inserted into the box at the weld to hold alignment for the weld. I think this because my new VO wheelset, when in the truing stand sans rim tape, tube and tire, settles with the weld at the bottom and the valve hole at the top. The pendulum effect of the rim in the truing stand (man, those are nice bearings) was enough to make me think that the amount of weight drilled out at the valve hole was almost relocated to the weld location. Once the tire was installed this effect was greatly reduced, almost but not quite to nothing, it spun with very good balance. Putting on a reflector will surely cause a balance upset, even a small one. It will be more noticable at higher speeds. At casual, relaxed speeds, you may not notice the weight of the reflector.

Apply reflective strips or paints to spokes or rims (not the braking surface). There are tires with reflective sidewalls. My LHT came with reflective sidewall Conti's. Or, install a matching pair of small reflectors opposite one another, and 90 degrees to the valve.

Steve.