a) Research is a never ending process. The end points are not defind clearly. It is always a search for seeking the truth.
b) is necessary to identify /acknowledge limitations so that we understand the boundaries and we also open new doors for further research /researchers.
c) By putting limitations, we are also acknowledging our humility and humbleness and at the same time making it clear quest for further work.
d) Ethically, it is not appropriate to hide our limitations !
Research is a Re Search so it is continuous process and search for various literature available i.e. empirical and theoretical. When we write a Research paper or writing PhD Thesis it is never complete as there always remain a scope for further improvement in our attempt.
IF you are a genuine scholar and you realize the limitations of your study: Yes you should always state them; ...else your referees will highlight them for you:-)
Reviewers generally expect you to discuss the limitations to your study toward the end of the Discussion section. Many people do so in a separate section, and often include suggestions for future research in the same section. The best limitations sections go beyond merely listing limitations, but will discuss why a limitation is a serious or not so serious problem in the current study, and how the study dealt with it. They also talk about what can and cannot reasonably be concluded from the study. They also go beyond what is obvious (e.g., can't draw causal conclusions from cross-sectional studies), and provide a deeper analysis of limitations, even going beyond the current study to talk about studies using your methodology in general. A suggestion for dealing with a limitation can be particularly helpful if it is a new idea or suggests something from another discipline that has been rarely used in yours.
Discussing the limits of your study reflects a good understanding of the boundaries of your research. Concurrently, it also shows reasonable knowledge of the topic being discussed.
Agreed research is an endless process whereby the end of your research is the beginning of others' research because they can see what are your limitations & suggested future research and inspire them to conduct further research for knowledge contribution.
I think one should pen down the limitation(s) of a research whether it is for thesis examination or for article publishing. Because by doing so s/he can self-examine what s/he didn't do right and offer new research opportunity for others.
Moreover, I find that limitations are very important section especially for thesis examination in which you demonstrate to examiners that you are conducting your research carefully, completely & transparently and you are not hiding any limitation despite you'd followed through the correct research methodology or underpinned on the right theoretical frameworks etc. This can create positive confidence that the examiners might have on you.
In social science researches, the interpretations and generalizations that we derived from the analysis of the data that we have collected through a sampling method from a particular population may not hold true always universally. So, limitations of the study will certainly enable the researcher to explain the conditions/ difficulties/ limitations of the data and information that he had collected for the study. Any finding of a research without any limitations can be accepted as universal phenomenon. Such things are very difficult in Social Science researches. So, according to me, it is very much important to put the Limitations of the Study in the research report. It will be better to identify or acknowledge limitations of the study in research.