No, they shouldn't. They like being independent and are doing well. In the case of Ninja Theory for example, they were struggling and MS said that they would fund and publish their games under them so it made more sense. Insomniac may make more games for Sony than they do anyone else, but it's the fact that they have the freedom to do whatever else that drives them to keep being independent.
Sony, MS and Nintendo should really only build their own talent from now on. It only takes that one person with vision and talent, give them a studio and top tier artists, programmers and you've got something special. Look at Sony Santa Monica, David Jaffe and Cory Barlog had the vision for that studios games. All they needed from there was a good team.
Eh, talent can also be built through acquisition. I'm not saying that in regards to Insomniac, but overall. I agree that building your own studios is very effective, but through the proper training and care for the work, acquisitions can be as well (as Guerrilla Games, Naughty Dog, and Sucker Punch, among others, have all proven).
Yeah that's true, Naughty Dog, Guerilla and Sucker Punch were acquired. But they built their house on PlayStation.. then again so did Insomniac. I just think at this point a developer on the level of Insomniac are better off independent. Their current model works for them, even if they do most of their shit with Sony. They still have the option to do a Sunset Overdrive, a Fuse or whatever the fuck.