If you see .map(|_| ()) in someone else’s code, it’s immediately obvious what it does, just from knowing closure syntax.
If you see .map(()) in someone else’s code, it’s not obvious what it does. (My first reaction would be, roughly, “Wait, what? () isn’t a function. There’s something really weird going on here.”)
Not worth it to save a few characters. This doesn’t make the code any more expressive, or readable, or maintainable, and there’s no functionality this would enable that you can’t do without it.