Apple Pencil 2nd Gen

You should keep your Apple Pencil docked with your iPad Pro when unused. Doing so will ensure that the tiny internal battery is optimally maintained - protecting the battery from premature failure.

Keeping the battery charged is critical. Should the battery be allowed to remain in a low charge state, irreversible damage will occur to the Pencil battery. If the battery fails, the Pencil must be replaced; the battery is not a serviceable component.

I presume when you say connected, you mean on the magnetic strip on the side of the iPad?

It's fine to leave it attached to it, it's designed like that