[The Barrow-Wight]

In other words, the desolation was like a work of art to Sauron, and he loved the way it looked so much that he couldn't bear to clean it up. Kind of like the criminal who takes a souvenier from the scene of a crime knowing that it might lead to his capture at a later date. It seems dumb in hindsight, but the crook never imagines someone will search his pockets.