Let Apple TV sleep or not

I am new to Apple TV. Should I be letting my Apple TV sleep when not in use? I originally disabled the sleep after inactivity but noticed my Harmony Remote shutdown sequence is set to put the Apple TV to sleep. Its easy enough to remove that step but I am wondering if I should be letting it sleep or not.
Will the recordings still happen if its sleeping? I assume it does since that would be handled by the DVR that does not sleep.

Any other issues I can run into by letting the ATV sleep?

You are correct. What a client device does (ie, sleeping, shutdown, disconnected) has no effect on the DVR server. Your recordings will continue to record.