Divine sanction (and other status effects) aren't optional unless the phrasing clearly indicates they are.
If the power says "... and the target is subject to your divine sanction," then your divine sanction gets applied whether you want it to or not. If the power says something more like "... and you may apply your divine sanction to the target" then you can choose whether or not to apply it. The main words to look for here are "may" and "can".
There are certain exceptions to this, of course. Fighters & wardens only mark when they want to: fighters mark every time they attack, while wardens mark every adjacent creature at some point during their turn. In both cases the designers understand that you may not want to actually mark everything you attack, or every adjacent enemy (particularly if there's another defender in the party and you don't want to override their mark). If you check the description of the class features they use to mark, you'll note the presence of a "may". Paladins, swordmages, & battleminds generally don't have this option, as the assumption is that if you don't want to mark something, you don't use powers that mark on it.
Note that this is also the case for all status effects; unless it indicates that inflicting the status effect is optional (through the use of "can" or "may"), then you have to apply that status effect.
One semi-loophole to this is forced movement & teleportation; while you technically have to move the affected creature, the rules indicate that the distance given is a maximum; you choose how far to move the affected creature, and 0 squares is an acceptable choice.