This is echoing everybody else's answer, in part: with any markup, there's an empirical question of whether it works or not on the browsers that you are testing it on. You tested it on all your browsers, and your happy. That's cool and is a huge part of the work.
But beyond that, there's also the hypothetical question of how well it might work on browser-platform combinations that you haven't tested, either because:
- you didn't include them in the test set
- they don't exist yet or
- they're not available for testing (web-crawlers, for instance)
For this set, which always becomes relevant sooner or later, you should follow standards -- when possible -- and use the enclosing UL or OL tags (in this case).
It's also worth mentioning that it makes the LI tags easier to track down if you are doing scripting, or if someone is doing scripting on your page (e.g., Greasemonkey).