First, the option doesn't pop-up when you enter the instance. Once you have signed up you won't see the option... unless you go into the mission interface.
As for the answer why: If there wasn't a way to abandon the mission, a few people would probably ask support how to get rid of the mission in case they want to delete it from their Active mission list. Or, in the rare case there is a serious bug with the (mayhem) mission that causes internal error code popups everytime you kill a random mob and you need to abandon the mission to fix it up.
To give a parallell: Just because you can sell some mission items to trade terminal without compensation (like merry mayhem keys) doesn't mean it's Always a good idea to sell those keys to trade terminal Before the event is over; for that matter to sell any (specific) item to trade terminal just because it's possible.