Agreed.
My rev A MBP has slightly warmer palm rests when it's closed compared to when it's open, but it has been working absolutely fine with the lid closed for as long as I've had it.
Of course if you feel more comfortable you can leave the lid open (it certainly won't do any harm), but it's definitely not necessary.
If it could harm the MBP, Apple wouldn't advertise it as a feature. Just imagine the cost of all the warranty repairs.