Nonsensical. We barely know enough to understand the most basic of cephalopod science, behaviour, etc...to leap off to another tangent at this time is just plain not possible, ethical or not.
Well we are talking about 'If we could...' and one day we may well be able to. I actually think it's a good idea to think about what we 'should' do well before we develop the ability to do it, otherwise we end up with the traditional hollywood 'bad things ensue' situation when someone does something that leaves people wondering "What was he thinking?!".
Besides, the original idea (glowing ceph) isn't that unlikely. As Bob said, they've done it to a fish, and if I recall correctly also to mice and pigs. So I think that if you really wanted to, and had the cash (or a research grant) you could get the ball rolling on a glowing octopus right now (if someone hasn't already, we know that people collect rare cephs, we know people will pay good money for them, we know there are people out there always looking to make a buck,....)