If you don't loosen bindings, the board can become prone to warping due to the excess heat and pressure from the area under the binding. It's good practice but have never heard of anyone having a problem. Would you really want to risk your nice $400 board though for an extra 2 mintues of work?
I removed the bindings fully, but I also wax other people's gear. It's just a precautionary thing for me because I don't want them coming back after inspecting the board saying that I "ruined their board"
I guess I tend to agree with the whole precautionary thing. It may not hurt the board to keep the bindings on, but it takes about a minute to remove them... I'd rather not take the risk and bust my 600$ board.
on one board i never loosened the bindings at all and they were fine. on another board i would remove my bindings and still got the indents where the screws are. i don't think it makes any difference. so now i just leave them.
people say that the screws "pull" on the base making indents where the screws are making it harder to wax, but i think thats just a waste of time, ive never felt any holes or had any issue waxing with the bindings on. just wax it up, scrape it off, and go ride. forget the rest.