I always read back the altimeter setting.
Could you imagine if a pilot was off by 1" in busy airspace?
From the time I was a student pilot in 1984 reading the altimeter
setting has been part of my normal actions.
Reading back altimeter settings is something which comes natually even
on check rides for various ratings, BFR's, 135 check rides and aircraft
check outs.
I have had feds and DE's tell me that it is important to read back the
settings.
Little details can help keep you alive.