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
'09 Kawasaki KLR650
'12 Gunnar Rockhound 29
"To live is to suffer, to survive is to find some meaning in the suffering." -- Friedrich Nietzsche