Shouldn't do anything bad to the shape, but it gets dirty! Doesn't like UV radiation, either. Sure you can leave it like that for a night or two, but don't make a habit out of it - you will get an off-white streak along the leech (where the sailcloth is exposed) and faded sail numbers (especially the red ones). Not slow but ugly.
I used to do that, but nowadays I always take the sail off the mast and roll it. That way you don't have to fiddle with the battens, either.
(Thinking about it, of course you could have a bag that you'd pull over the mast and sail, but I don't see anyone using anything like that, so you'd have to make one yourself.)