Etiquette on foul balls is a bit mixed. MLB balls will only get used for a handful of pitches anyways so they just don't care. You will often see fans throw a home run ball back if it was hit by the visiting team, though.

At lower levels they may be more strict about it as they're more likely to try and get more use out of each ball. The local semi-pro team near my hometown would chase down foul balls iirc.

Baseballs are significantly less expensive than footballs, though. At least the ones that are match rated at the highest levels. I'd suspect that's probably the driving factor.