Obviously they would expect some advantage, real or imagined, from it.
People already undergo painful and even (moderately) mutilating procedures - scarification, modification or removal of body parts, etc. - to express themselves, to "belong" to a group, to pledge their loyalty and things like that. So it could be a fad like many others. And yes, people already spend unbelievably large sums to undergo such procedures. Some body moddings (no links provided - google at your peril) can cost up to £15,000. "Biohacking" is the new word.
So it seems to me you need look no further than that, even with your premises of "A virus that would have pretty nasty symptoms" and "There is no compensation for getting infected". Both conditions already hold for, say, the most extreme scarifications.
If the long-term symptoms are visible and unmistakable, then you can go with the virus as a mark not unlike tribal or criminal-world extreme tattoos.
Or people could choose to believe that infection gives them some superpower - thaumic healing (whatever that is), connecting to the inner universe and so on.
A workaround to the "no benefit from the infection" - we're threading on a fine line here - could be to assume that there is a non-biological benefit either in being infected (insurance compensation, exemption from taxes, ...) or in being treated (maybe the symptoms can only be relieved with pleasure drugs, and there is no easier way of getting said drugs).
Slightly relaxing the no-compensation premise, infected hosts might really become more sensitive to something and deem this valuable, so much than suffering from the other symptoms is still worth it.
If the virus gives sensitivity to other infected hosts, and nothing else, it would be a sort of secret club handshake. As long as the symptoms, while severe, can be hidden (otherwise goodbye secrecy). Or if strict segregation of infected hosts is enforced, and you really really want to be among the infected - because e.g. your family is there, or you believe that the Rapture will ignore the sane...
In Dark Benediction, the virus (okay - bacterial symbiote, and it's highly infective) has several compensations: it increases IQ and supplies enhanced sensorial perception - UV, IR, and so on. The craving for uninfected people to infect, which is the most horrible symptom apart from the grey superskin replacing the original pink one, will quickly abate when no uninfected remain around. Changing those premises very little, you could have a virus that people would kill for acquiring.