...after rereading the rules it appears you don't have to take your penalty on the water if you don't want to, unless someone protests you there is no penalty...
Take a look at the "Basic Principle of Sportsmanship and the Rules", which states: "Competitors in the sport of sailing are governed by a body of rules that they are expected to follow and enforce. A fundamental principle of sportsmanship is that when competitors break a rule they will promptly take a penalty, which may be to retire".
If a boat breaks a rule, she is expected to take a penalty whether another boat protests or not. Protest Committee is the arbiter of the rules, not the enforcer.
Regards,
Eric
