Alkaline cells (AA batteries and the like) are susceptible to leakage, which is why manufacturers recommend leaving them out of the device when not in use. That doesn't apply to the Li-ion batteries used in Nikon DSLRs. I've never heard of one leaking.
But you probably should remove it once a month or so just to recharge the battery. The battery discharges slightly while in the camera both by self-discharge and because the camera is taking a very small amount of energy from the battery. In extreme cases, leaving the battery discharged may shorten battery life.
That said, I've left my EN-EL3 battery in my D70 for months on end without recharging it, and it's still working, almost nine years after I bought it.