Hell yea it's worth! I want my grinning eyepatched skull back with the text saying: Micro$hit Windows Pirated Edition, Right to copy
Bythe way,I never had a single virus with XP ('cept for blaster mybe

) and i used a TON of bootscreens (which were freakin' exe's! Dont tell me, THOSE weren't security risks!)
From m$ :
"The reasons for this should be pretty clear, which is that we cannot guarantee the security of the system to allow for arbitrary elements to be loaded into memory at boot time. In the early stages of starting Windows, the system needs to be locked down and execute along a very carefully monitored and known state, as tools such as firewalls and anti-virus checking are not yet available to secure the system. And, of course, even though we’re sure everyone would follow the requirements around image size, content, etc. due to performance, we would not want to build in all the code necessary to guarantee that all third parties would be doing so,"
You can read about it here :
No Custom Windows 7 Boot Screen - Just in case you were holding your breath - Softpedia
In my opinion it is pretty valid and understandeable standpoint, from a devolloper's perspective. Your memory will be exposed during time of the bootscreen when unsigned, hence the lockdown by the means of a digital signature.