I do not do it each time, but I do clean up orphans and foreign packages once in a while.
Orphans are (normally) useless packages, so it just takes space and bandwidth for nothing. It’s really unusual when something actually useful is marked as orphan; if it happens, you can mark the package as explicitly installed of course.
Foreign packages might be a sign that you have obsolete packages that won’t be updated in the future, so it’s a good idea do deal with them too. Most recent example (as like, right now) is dbus-x11, which is a variant that provides DBUS (which is, hum, a pretty important component for most if not all Manjaro systems out there) that used to be in the official repos, but isn’t there anymore: so you have to take a decision to either move on to the dbus package or to use the AUR, which has a package with the same name. To be honest, with such a core package, I would recommend to avoid AUR and move to dbus provided from the official repositories.
Between orphans and foreign packages, I think the latter is the one that requires most attention.