Wouldn't you want some sail to be able to have some control, so that rudder would work? I went through a nasty thunderstorm in LI sound some time back. I kept the smallest jib up and was able to kinda sail, with jib flapping and shaking..
Saw the squal coming from miles away, had time to take down sails and get dressed.. was not a pleasant experience to say the least.
Lightning was impressive, not a single boat anywhere, but nothing happened .
I was able to aim the boat where I wanted, but by the time the waves built up, the worst was over....