personally speaking, i do go to wash my engine compartment every once in awhile, usually i just wipe with wet cloth oni..
Technically speaking.. cehh, mcm bagus.. its not advisable to clean ur engine compartment as the way car wash do.. reason being even though our engine compartment are designed to be exposed to some extend of moisture, it is still electronic stuff here and there.. and water is surely not a good thing to have when it involves electronics.. even though u only see wires here and there, the sensors are the one that is more vulnarable which is usually hidden abit.. plus, car wash normally will have notices stating they will not bare any responsibility if any thing goes wrong when u ask to clean ur engine compartment.. seen a few cases of burned electronics (mostly ignition coils), lucky not my car.. hehe
Conclusion, ur money, ur choice :D