From the Axis POV, there are both advantages and disadvantages to annexing Lithuania, if the opportunity presents itself.
Obviously, you get the advantage of the MPPs and you get a more advanced position from which to attack the USSR.
On the other hand, if Germany annexes Lithuania it alarms Stalin and leads to increased Russian mobilization.
If you are planning to pursue an aggressive strategy against the Western Allies, including a possible invasion of England, it may be worthwhile, as the German player, to let the Russians take Lithuania. An invasion of Britain and/or too much success in the Middle East will incite the Russians, and you may not want to add to that by taking Lithuania.
And on the opposite extreme, if you are in the process of conquering France easily in Feb. 1940 (when DE 610 fires) and are looking to mount an an early Barbarossa in Spring 1941, it also may be worth letting the Russians have Lithuania in return for keeping the USSR at a lower mobilization. level.