webjnke1
The instructions for mine, say to let the pressure out after every use ... that the constant pressure can be bad on the seals and stuff, and over time can create leaks. Which is what happened to an old one I had, cause i kept air in it all the time. It has a relief valve that you let it out, then close it back up to keep dust from getting in. In fact letting the air out, blows the moisture out.

Chris
you are supposed to let the pressure out by opening the drain cock at the bottom. It drains the water at the same time.

StevenQ
If you don't drain it, you'll build up a nice sludgey mess in the tank. On the other hand I've owned Emglo dual tank units and rarely emptied them(end of day, too tired to care) and they've lasted years.