All good - I can't think of any reason for 99% of installs why you wouldn't connect the negative. Ultimately, it's connected via the data connectors back through the ColorLight/Octoscroller/etc but it's better to have it connected at the power supply side too with proper rated cable.
None of the power supplies in my P5 cabinets have the negatives connected directly between one another. Must all be through the data lines, no issues at all either.