First things first: I wouldn't mind if it was added, before people start responding to my response below and is maybe due to my own preference of acquiring skills as a player and pirate. I admit that my thoughts on this might be a bit too idealistic in this case, but still would like to share them as I personally would rather not have a sunk marking on the map.
The loss of treasure is by all means something that each pirate should accept in a game like this and the best lessons are learned by enduring the consequences of our mistakes in my personal opinion it is a part of games. As many pirate legends have found out gold and reputation is not that rare of a commodity to come by.
Additionally I am a big fan of the minimalist approach of the UI support we get in the game, where the player just really needs to improve and learn the game through and through without the game providing too much additional information. Such as the ability to read your surroundings and knowing your position on the map even in the heat of battle or the chaos of a storm, it is a key skill every pirate should master after all.
Also I personally found it a crew bonding experience of sailing in a zig-zag pattern near the area one has sunk, at a lower speed with someone in the crows-nest seeking the chests bobbing in the sea, which thankfully with the sparkles of joy has become significantly more easy.