Don't you know you're supposed to say "Pet Shop Boys" without the definite article—not "the Pet Shop Boys"?

Neil and Chris have themselves referred to "the Pet Shop Boys" on numerous occasions onstage and in interviews. Besides, I seem to recall a song titled "We're the Pet Shop Boys" (my emphasis). I know our musical heroes didn't write it, but they did cover it. Twice, no less. And if it's good enough for them, it's good enough for me.

A few other pop/rock acts have adopted similar stances with regard to the definite article "the," perhaps the notorious case being the Carpenters—or, as they would insist on the name of their duo, just "Carpenters" without "the." But, tell me, who actually refers to them exclusively, or even very often, as simply "Carpenters"? It's a stylistic affectation to which hardly anybody feels obliged—or should feel obliged—to adhere.

Here's the rule I generally follow with [the] Pet Shop Boys: if it "feels right" for me not to use "the," I don't. But if it doesn't "feel right," grammatically or otherwise, I go ahead and use it. It just seems the natural thing to do.