Better eggs have a higher chance of resulting in better genes, which are especially useful later on when you unlock the Rite of Channelling.
If the Monster Den is the result of a monster retreating, the eggs in the nest will always be that of the monster that retreated.
That means you have nothing to lose by chucking the egg back in the hopes of pulling one with a glow/sparkles as it will always be the same monster. Worst case scenario, you’ll take too long and have to battle the mother, but it’s worth it for a better egg.