I hope it's more of a safety thing to protect your winch/battery/truck in the case of an inadvertent activation. No winch should "stick" if you leave it engaged. (It's just a sliding dog collar that's coated in grease... ) BUT if for whatever reason the winch decides to spool in on it's own, and you have it engaged with the hook clipped to something, or one of those thimbles that doesn't fit through the fairlead, there's going to be a meltdown fairly quickly, and you're not going to like it.
To be honest, I leave my winches engaged with a bit of tension on the cable to keep the line from getting loose. When I need to use it, I bump power out and then disengage so I can pull cable off the spool by hand. Powering out long distances can be pretty hard on the brake on some winches.
Loose cable on the drum ends up birds-nesting, then cutting into itself, and then it's wrecked. Even synthetic rope gets pretty haggard looking, and hard to unspool if you let it get loose on the drum and then use it.
If you are really worried that your winch is going to operate itself and melt things down, you might want to put a battery disconnect on the big power cable. Honestly, I have yet to see a winch have that problem... Usually it's the opposite, where the solenoids just quit making good contact and the winch won't work when you need it to. But either way, I wouldn't let the cable just lay there loose, as it's the fastest way I know to wreck good cable. (Ok, it's not the fastest, but it's really easy!)
Chris