Keep it engaged. There's typically nothing in the manual that states what to do.
But, if you read the steps, the last thing is to wind it up. There's nothing that says to disengage after winding it up. So, keep it there.
I can think of reasons not to leave it free. Safety aspect of coming loose and winding up under your jeep before you can see it. I doubt it would happen, but, you know who Murphy is, right?