I've seen some heatmaps of ads where the display URL is the 2nd most examined component of ad copy behind the headline (people want to know what happens after the click).
Display URL CTR is a component of QS. It tells someone your domain. It tells someone where they go if they click. It's part of your ad copy (think of it as as copy, not destination URL). It's 25% of your ad. It's very much worth testing.
Thanks for your replies (nice internal links to discussions). My all time adwords stats show over 900 million impressions and over 7 million clicks, and yet i am unable to test this for a couple of reasons. Let's just say the MWR is not measured (does not occur) on my web pages. And it's more complicated than that and gets confusing real quick, but i agree, it's very much worth testing and i suspect conversion carries forward throughout the chain of action(S).