Kaladin is branded with the "shash" brand, meaning dangerous, for trying to escape and being overall dangerous. Sanderson has mentioned that, among other things, it diminishes is value as a slave, and he would go for less value because of his danger. Why would it be a good idea to brand Kaladin, or any slave, with a shash?
Slaves are property, you don't get rid of property. The brand is so that future slave owners will know that this slave has a history for being violent or dangerous, instead of being assigned a house or even a field, these slaves usually end up working in heavy labor camps, were death of slaves is common.
Slaves also require a "history" of sorts, kind of like a used car report. So you know if this car has been in many major accidents had engine repairs ect. Slaves fit into the same boat during resale, you legally have to provide the slaves past history.
Sanderson is imposing some very real world topics from America's own past onto the condition of slaves in the Stormlight archive.
Because it used to happen historically, and we can relate to it:
Branding of runaway slaves has happened many times in world history, and was done as a form of punishment, and as a warning to other slaves.
In Louisiana, there was a "black code", or Code Noir, which allowed the cropping of ears, shoulder branding, and the cutting of tendons above the knee as punishments for recaptured slaves. Slave owners used extreme punishments to stop flight, or escape. They would often brand the slaves' palms, shoulders, buttocks, or cheeks with a branding iron. https://en.wikipedia.org/wiki/Human_branding
Examples are given for Britain and Russia in the same article, but since Sanderson is from the US he probably was looking more at this type in his research.
Branding of slaves was also practiced in ancient Egypt:
While there had been slaves in Egypt since the beginning of its history, their numbers greatly increased during the New Kingdom, when the pharaohs were committed to a policy of foreign involvement and conquests in Nubia, Canaan and Syria brought in many prisoners of war, seqer-ankh, who were enslaved, at times branded with the sign ki http://www.reshafim.org.il/ad/egypt/timelines/topics/slavery.htm
It makes escaping again harder:
Branding provides a permanent mark so that if the slave ever tries to escape again they are easily recognized and returned to their owners.
As early as 1643, the General Assembly passed laws that established penalties for runaway slaves and servants, regulated their movement, identified multiple offenders (by branding them or cutting their hair), and provided rewards for their capture. http://www.encyclopediavirginia.org/Runaway_Slaves_and_Servants_in_Colonial_Virginia
Also from the earlier wikipedia article:
Branding was sometimes used to mark recaptured runaway slaves to help the locals easily identify the runaway. Mr. Micajah Ricks, in Raleigh, North Carolina, was looking for his slave and described, "I burnt her with a hot iron, on the left side of her face, I tried to make the letter M."
Basically even though branding Kaladin lowered his value, it was worth it to the slavers as a warning to the other slaves, a punishment, and as a way to ensure that he couldn't easily escape again.