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 Toyota Pickup
'09 Kawasaki KLR650
'12 Gunnar Rockhound 29
"They say the test of literary power is whether a man can write an inscription. I say, 'Can he name a kitten?'" -- Samuel Butler