I've never heard of it on that basis. Even at complete rest the derailleur spring is still under tension.
My understanding was that you release the cable tension to avoid cable stretch which would put your indexing out. In which case it'd be as advisable with an igh* as it would be with a derailleur.
*Exception being a Rohloff where the indexing is a function of the hub not the shifter.
Whether or not you can completely release cable tension on a Nexus hub remains to be seen. I know with some 3 speed hubs (Sturmey and Sachs at least) the cable will be completely detensioned in 3rd gear and with a deraileur system you could either completely shift into the smallest cog where the mech would/should be sitting against the limit screw rather than being held by the cable or by doing a couple clicks at the shifter without turning the pedals thus letting the chain hold the mech in place while the cable goes loose but hubs like the Nexus, Alfine etc may always have the cable under tension.
TLDR: Don't worry about what gear you leave your nexus hub in.