When I was first going through the first big dungeon of Final Fantasy IV DS, the Damcyan waterway, an enemy happened to drop a rare item called a Rainbow Pudding, which I realized I could sell for a ridiculous amount of money. However, I held off on selling it at first because I thought it might be needed for a side-quest later in the game. Hours later into the game, I finally ended up selling it to finance refitting my party members with fancy new Mithral weapons and armor. In a cruel twist of fate, two dungeons later, I find an NPC asking for Rainbow Pudding, at which point I nearly threw my DS out the window. I only became more frustrated when I learned that the item in question has only a 0.4% drop rate. So I now find myself condemned to spend hours farming an old enemy to get my hands on a rare item that I already had.
An incident like this should not happen. All it does is frustrate the heck out of players for making the "wrong" choice when they do not have enough information to base their decisions on. Unfortunately, it is not that uncommon for this uncertainty and confusion to occur. Recently in FF III, my brother found a stash of eleven Golden Swords, which were useless as equipment, but could be sold for semi-decent money, but he held off on selling them for a while because he had no idea if they were needed for their own quest or not. I experienced this same phenomena many times in FF XII as well, where it is unclear what I was expected to do with certain quest rewards, particularly since selling certain items in that game can unlock expanded store selection.
The problem comes from a conflict between two common game devices in RPGs. The first part of the problem is that many RPGs reward players for finding and holding onto rare items. A great example is Xenogears, where the player can redeem the Mermaid Tear, a weird item found in the first hour of gameplay, for a reward at the very end of the game. A similar phenomenon can be seen in Dragon Quest VIII, where all kinds of esoteric items are needed for item synthesis. This kind of thing is so common, that I now almost habitually hold onto items and equipment that I can't buy in shops, even if I don't have a need for it anymore, just in case.
The other factor at work is that most RPGs expect the player to sell stuff to make money. Final Fantasy XII is a major example, since the only way to make money in that game is to sell the stuff that enemies drop. Many RPGs also give the player items whose sole reason for existing is to be sold for cash (these are usually gold nuggets or jewels, but not always).
So, when a game gives a player an item that has a monetary value, is not sold in stores, and cannot be used, both of these forces come into effect. On one hand, experience tells the player that items like this are often needed in quests, but on the other hand, items like this also often exist solely to be sold. Without any other information to go on, a player has no choice but to guess whether holding on to the item or selling it is the more advantageous course of action. And with 50/50 odds, many players are going to end up making the wrong choice and later become frustrated when they discover the truth. The only solution is to give the player more information from the get-go on what the player is expected to do with an item. Making items that are necessary for side-quests unsellable completely eliminates this confusion, or adding phrases such as "quest item" or "can be sold for money" into the item description and staying consistent with their use.