I do. Malifaux is a multicultural game, and the fluff and crews make it clear that it's a world inhabited by people from all countries and walks of life (Spanish/Mexican, Chinese, Japanese, Prussian, and British - just to cover the crews I have). Proper pronunciation is important, especially if you're learning the game or playing against someone for whom English is an ancillary language. ("Francisco" only turns into "Frank" if you speak English, otherwise it can be very confusing.) Good manners and professional courtesy cost nothing, after all.
If people mispronounce a model, I correct them. "You mean Kir-EYE, not Kir-AY." Most people are happy for the correction.
(Two disclaimers to this: 1. I'm dyslexic, so I need to know when I mispronounce something! 2. You can take the teacher out of the school, but you can't take the school out of the teacher.)