Changing the port will force them to do a scan. When you use a security tool such as snort, with network taps or SPAN, then something like a port scan of your server becomes obvious. Someone legitimately connecting to the SQL server on the default port is not so obvious.
The best approach, I agree, is not security by obscurity. However, changing the default port on any and all applications, when possible, is part of an over-arching, deeper strategy that includes red team activities, network security monitoring teams, and all of the correct instrumentation, installed, matured, and understood by those who are using it.
When you have all of these things, then an intruder in your system stands out like a sore thumb. The bottom line - if anyone thinks that they can improve the security of their systems by checking off a bunch of items on a list, they are wrong. If they can't explain why they need the port changed, in no uncertain terms, then they don't belong in the role of someone telling you to change the port.