While it's easy to get kidnapped, it turns out that "cursed" classes can fight just fine. Go into battle with a prisoner, a cow, a maid and a pony and you can clear dungeons at their level. Then you reach Veteran in the cursed classes, take the permanent bonus upgrade, and finally class change the toons back to the non-cursed class they were supposed to be. Nothing is really lost.
Also, certain cursed items can be extremely powerful once uncursed. I'm thinking of the pet class's collar, the maid's pink feather duster, and the spidersilk panties.
...and later on, getting kidnapped can be an effective way to yank the more troublesome cursed items off your characters, if you're confident you can do the rescue mission quickly (and value the 5 favor it would cost to church the item off more than you value the 50 mana it costs for a class change).