Does ESP8266 deep sleep make sense while on the power supply?
If you are thinking the power supply will keep wasting same power whether you use it or not, then you might be wrong.

These power supplies also have a standby state similar to sleeping state of your MCU. When you are not drawing power from these power supplies, they will waste very little power typically 30 mW to 300 mW depending upon design and quality of components used. 

Your MCU will not be consuming a lot of power anyways for the kind of application that you mentioned, it might still make sense to put it into deep sleep because you are reducing power wastage (as pointed out by Finbarr in comments). Also, if tomorrow you want to make the gadget battery powered, you do not need to write a new code for it.