Not a problem at all... whether tow bar or dolly, I would only disconnect if I needed to.
I tow ignition off, battery disconnected - so nothing to do at night or in morning - just go... but definitely want to remember to 'redo' anything you 'undo' for the night.
Only issue I've heard was one a friend of mine encountered a few years back...
After one trip told us how they stopped in a (Walmart I think) parking lot for the night, and she couldn't sleep because this car was parked right up behind them all night.
Of course in morning - realized it was their own toad still connected!
(Pete knows exactly who I mean...
)
Enjoy!