Why not support it with the left pinky (especially since on the C Ocarina there isn't a hole for it to cover)?
Good question! Of course, you are free to develop your own technique. There are no strict rules about how to do this.
Here is why I don't support the ocarina with the left pinky, except in very rare cases such as when dropping from a high C (G) to a low C (G).
Most people, when they play with other musicians, wind up using BOTH the C and G ocarinas. A key to fluid playing of fast, challenging music is to always keep your fingers in position near their corresponding toneholes. It's more of a stretch from the pinky support position to the pinky tonehole on the left hand than it is on the right hand. If I routinely supported my ocarina with the left pinky, I'd have a hard time playing some of the music I play. Also, anchoring that left pinky to the ocarina can restrict certain ornaments.
Most importantly, with a little practice you'll find that you don't need the left pinky to support the ocarina. What seems best initially might not be best in the long run, and bad habits take time to break. Still, when all is said and done, my way is NOT the only way. Feel free to experiment with what works best for YOU.