I think that all uros do this (at least when housed in an aquarium). The first time I let my first Mali run around my floor, he went straight to the nearest box and started his dance. I have the feeling that they're simply trying to climb, as climbing seems to be in their nature.
Anyways, my uros do it every day, and I've not noticed any problems caused by it.
Some people have suggested putting paper backing to the glass to stop the behaviour, but it's never stopped my guys.
I wouldn't worry about it, and I actually find it pretty amusing, and even when I'm not looking at them, I can sometimes tell who's up by the sound of their squeeky feet on the glass!
Nicki
-----
0.0.2 Uromastyx geyri (Saharan Uromastyx) - New babies! 
1.1.0 Uromastyx maliensis (Mali Uromastyx) - Spike and Lizzy
1.0.0 Lampropeltis mexicana thayeri (Variable (Thayer’s) Kingsnake) - Kavi
0.0.1 Lampropeltis triangulum campbelli (Pueblan Milksnake) - Callia
0.2.0 Thamnophis sirtalis parietalis (Red-Sided Garter Snakes) - Spot and Fluffy