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.
"Stand your ground. Don't fire unless fired upon, but if they mean to have a war, let it begin here." -- Capt. John Parker