Dissertation formatting: should foreign words and Latin abbreviations be italicized?
In general, unless your particular institution's style guide has something to say on the matter, this is entirely up to the author to decide. The primary reason not to do so, I think, would be that there are so many foreign words that it becomes impractical to italicize them all (in other words, the italicization becomes too prominent).

Additionally, one can make the argument that over time foreign words appear enough in a foreign language that they end up "borrowed" by the other language. For instance, if I were writing in the humanities, I'd be inclined to italicize Weltanschauung but not schadenfreude or angst.