In general there is no reason to disconnect the battery (as long as you use just GND,DIO,CLK), it is even better too keep it connected as the device may check battery voltage and shut down when it is 'low'. Also when you don't mess with power you can attach and detach SWD without affecting the device at all. If you need to reset the device it can be done over SWD without disconnecting the power.
BTW at least with openocd when you end the session it keeps the nrf5x debugging bits powered on so battery will drain fast. With CMSIS-DAP debugger it is possible to detach it in more sensible way via nrf52.dap dpreg 4 0 ; shutdown, this will power off debug interface before detaching so power draw is back to normal. Maybe J-Link does it automatically, I don't know.
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In general there is no reason to disconnect the battery (as long as you use just GND,DIO,CLK), it is even better too keep it connected as the device may check battery voltage and shut down when it is 'low'. Also when you don't mess with power you can attach and detach SWD without affecting the device at all. If you need to reset the device it can be done over SWD without disconnecting the power.
BTW at least with openocd when you end the session it keeps the nrf5x debugging bits powered on so battery will drain fast. With CMSIS-DAP debugger it is possible to detach it in more sensible way via
nrf52.dap dpreg 4 0 ; shutdown
, this will power off debug interface before detaching so power draw is back to normal. Maybe J-Link does it automatically, I don't know.