...Can you just go and leave if asked to leave?
Yes, but being asked to leave somewhere is a pain in the ass for both your evening schedule and possibly for your accompaniment.
And why patronize them and encourage them to maintain their policy?
If you know the policy, tell them why you aren't spending your money there.
Now, the exception to this would be if you have the motive and opportunity to purposely open carry to test their policy. This allows one of two things to happen: they ask you to leave and directly get reminded that they don't get your money, or they don't ask you to leave and they learn that an OC'er caused no trouble at all. But you have to plan your entire evening around the possibility of being asked to leave.