There is a remote risk of damage if a wire fails, but there is also a real risk of the mast coming off the ball during a capsize, so only with caution and tight wire tensions would I consider removing the pin. The manuals suggest leaving it in place. Understand that a mast coming off the ball in a bad thing too. And upside down Cat is nearly, if not impossible to right with the mast removed. You would have to be assisted and likely towed to the beach upside down.
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Hobie Cat USA