I live in Northern Alaska. It often stays below -30°F(-34°C) for weeks at a time, sometimes reaching below -55°F(-48°C). Rarely does anyone so their engine below 0°F (-17°C) here at the pumps.

I can see many reasons to do so, your vehicle is an easy theft target, wasting fuel, pollution, a super rare chance of combustion from fuel vapors, etc. But there is no definitive YOU HAVE TO moreso than why you can't legally cross the road when the red hand says you can't, even though you see no cars and it probably will be fine.