Really? I did not know that lol I am a Muslim myself and all my relatives and family members wear theirs on their left hand.
To be completely honest, I don't like it either, in fact not only on KSGs case but on every character whether it is SRK or Barun or international film stars... as soon as there is an emotional scene which is really well executed and then the ring pops up and one is snapped back to reality... it does bother me at times.
But, I know it is a nice gesture for his wife that he does not take it off. But the again I still feel and wish that all actors who actually play a character should not wear any marital symbols but that is a wish.