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Should transmission be in gear when sailing?
The reason to put the saildrive - or any prop for that matter, in gear is to reduce drag. It is more significant with a folding prop, but a spinning prop creates considerable drag compared to a rottating one. There may be some issues on bearing wear on long sails, but this is secondary.
Non-geared (Martec type)folding props must be set so they are generally horizontal before locking them in gear so the water pressure closes the blades. Do this by putting the transmission in gear with the engine stopped and then turning the shaft to a preset mark.
Many saildrives have geared folding props that force the two blades to the same opening position so they close under sail regardless of the rotation. However they will continue to rotate unless put in gear.
Even fixed blade props have less drag when stopped.
Just think of a helicoper autorotating (freewheeeling with no engine) vs one with the rotors stopped. I assure you the latter will fall much faster (less drag.)
I think people put transmissions in reverse because the thottle lever is less in the way.