I would leave it connected. When the transmitter is turned off the battery is disconnected, so no issue with charging with the battery connected.
Now, here's a good reason not to disconnect the battery every time you charge. The little white plug that JR/Spektrum use for their transmitter battery connector is not designed to be repeatedly connected and disconnected. Even with my Futaba radios that use a servo connector on the transmitter battery, I don't do it.
Pete