Actually, the SAT (American college entrance exam) penalizes wrong answers more than non-answers. A non-answer gets you no points, but a wrong answer gets points subtracted.
In some situations (committing an integrated circuit design to manufacture probably being one), the cost of being wrong is pretty big.
Other situations where there's a tight feedback loop and you can make/propagate changes quickly (say, most web app software development), it's less so.
Guessing is a good skill. Managing risk is a good skill. Learning how to situationally value guessing vs. knowing is a awesome skill.