I usually release the lever. When the lever is closed, it compresses the stem seal a little bit, which gives it it's waterproof-ness(?) If you wind it when the lever is closed, you create friction on the little rubber "O"-ring sealy-thing, which could wear down/damage the seal. It's just kinda a "don't ask for trouble" thing.
Honestly, I don't know for sure if it damages the seal over time or not, but it seems that it would. Plus, flippin' the little lever is fun!