It would probably be better to clip it to your buddy's BC while they aren't looking!!! Nyuk, nyuk, nyuk! Actually, I have never been "corrected", but then again, I have never taken a Divers Down bouy class either. If I were snagged by a passing boat, I would hope to have the presence of mind to un-clip. However, affixing your clip to a loop of 10# mono tied to your D-ring would be safer. I think that I will do that from now on.
Yes there is more drag, but I seem to be one of the "speedsters" anyway, so its good to slow me down a tad. There is the standing rule though, that the crowd follows the flag, and NOT visa versa. It helps keep the group together, and gives the poor shmuck toting the thing at least some "payback" for their effort.
On a lighter note, I think I see the beginnings of an underwater tag game here... When I raced canoes in High School, we had a trick of tying a ballon onto the stearn of a team mate's canoe in practice... When it got caught in the wake it really made them work HARD. The longer the line usually meant the longer it took for them to figure out they had been "had".