Setting aside any debate of why someone might want to, which is really up to you, the fact is there are a few cichlids that can and do live in marine conditions in the wild or, as mentioned, African soda lakes of even higher salinity. The list of species is small, you have to acclimate them carefully, and some species that can live in marine conditions grow more slowly than in freshwater, which for me would tell me it might be better to grow them out first.
In any case I've seen a few people do it successfully, you just need to do your research, either from science sources or guys that have actually done it. I wouldn't rely on the advice or speculations of someone without personal experience in this case, although comments on compatible marine species would be valuable.
Here's a study that might help, has data on salt tolerance levels of several species, how to acclimate, etc.
Bottom line imo is if you do your research on which cichlids can truly handle marine conditions, what levels they're comfortable with, and how to properly acclimate them, it's your option, even if it's outside the box for most people.