I have did so for years don't see any harm from doing so.
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On the contrary, seems to me that leaving CDs in the transport is a good idea, significanlty reducing wear and tear on the drawer mechanism. Think of it this way, if you may listen yo the same CD in your next session, you save two drawer openings and closings, and if you will listen to a different CD you will still save one full opening and closing operation. Since, on average I only listen to a few CD's per session, leaving one in the player probably cuts down on drawer use by 30-50%. The only caveate I can think of is if you do not power down or use a standby and your transport gets quite warm for some reason.