As svHyLyte says, I'm sure it is better for the lines if they are removed. That said, I've never done it, and I don't know anyone up here (northern Lake Superior) who does. We're on fresh water, so perhaps that makes a difference. All I can say is that after over a decade of boat ownership, in a place where our lines our exposed to very harsh winters, I have noticed no significant impact due to winter weathering.
I will be leaving mine up again this year ... actually, I gotta pull my boat soon. Winter's getting too close