Well, as far as working with the key out from a security aspect, manual crank windows don't stop working with the ignition off. :-)
One reason I could see this being a problem is that a stuck motor or short could run down your battery. Dunno chances of something going haywire though.
'91 Pickup - Imelda
'08 Tacoma TRD - Donna
'09 Kawasaki KLR650
'12 Gunnar Rockhound 29
"Our task must be to free ourselves from this prison by widening our circle of compassion to embrace all living creatures and the whole of nature in its beauty. Nobody is able to achieve this completely, but the striving for such achievement is in itself a part of the liberation and a foundation for inner security. " --Albert Einstein