I have allergies. I rinse. I don't dry burn.
Dry burning stresses the coil because there's no liquid to cool the hot points. But if you want, go ahead. Newbies trying it will fry/pop some coils. Other more experienced "burners" will just needlessly stress theirs, while those like me keep nice coils for a long time and still have no allergy problems with it.
To each their own I guess...