I don't make cooked sauces, but I know that when I get one that has seeds in it, I don't care for that aspect of it. To me part of the reason to make a cooked sauce is, as RM noted, to have smoothness to it. Coming across seeds in an otherwise smooth sauce seems like carelessness on the part of the producer. On the other hand, I do make fresh salsas and am not so picky about the seeds with those, because the feel of the sauce in the mouth is not smooth if all you do is chop things (not put in a blender.) However, pods that are rather seedy have the seeds removed. It's all about texture.