Only when winching IN.
When winching out the brake will be on, this is to assist in controlling the rate the rope/wire will be spooled out. This is why external brakes are better than in-the-drum brakes when using rope.
I'd be more worried about some scote pulling the rope over the roof attaching the winch hook to the rear tow point and winching in :o
Similar if parked near a river or body of water, attach hook to solid point on the other side and winch in :o
This can be done without a wireless controller if they can access the plug in remote socket, piece of wire or even a paperclip in the correct pins.
In other words leave the clutch engaged and fit a means of securely isolating the main power to the winch.
Hi I always left my winch in gear, (XD9000 Warn), so the drum wouldn't vibrate the wire loose as mentioned earlier. I'm don't know if the brake works paying out or not , but sometimes I power out my winch wire , ( especially if it hasn't run for a while, and it's bit stiff.) But mostly I pull it out since it's a lot faster. I have a 500 amp switch that isolates the battery from the winch, ( fitted beside the battery on the passenger seat base), If you don't have one the biggest risk is a dead short to earth if the insulation is damaged, by chaffing on corrugations or in a traffic accident. I'm sure most of us have seen the photos of cars totally burnt out due to electrical fire caused by short circuit. The power stored stored in a battery system is vast. I only turn on the switch when I go offroad, it powers the air compressor as well. The winch has been there for a long time and has had the drum bushes replaced, they're nylon and wear out, but they're cheap and easy to replace.:)