Advice: If it gives you piece of mind, then do it. It's an added safety factor, it doesn't cost much, and it's easy to install. Make sure you install it under the hood so that it cuts off the power before the cables go through the grill. While you're at it make sure your positive cable is routed away from sharp edges and chafe points. Add some split loom or other cable protection while you're in there. I've never done it, but I should. I do pay a lot of attention to how my cables are routed.
Information:
I have had winches on my vehicles since 1986. I'm a little bit redneck and never get rid of anything, so there are five in the driveway right now. My brother is more of a winch user than I am, and I have no idea how many we have on the family farm. We have seen (and orchestrated) a lot of winch abuse. I have never seen a runaway winch.
I have a friend that had one once, but it wasn't the solenoid. (Many new winches use sealed contactors instead of solenoids, so some of that risk is mitigated). My buddy had a short in the plug for the remote on an old Ramsey while driving (a pin broke off and wedged itself between the other pins). It destroyed the winch motor and tweaked the bumper on his CJ5, but otherwise did no damage to the Jeep. He didn't know anything had happened until he stopped and smelled the burnt motor. A disconnect would have prevented that one.
I have seen a few positive cables with the insulation rubbed through where it was chafing on grills, radiator supports, etc... (Jeep CJ and YJ grills in particular). I've never seen one of these go all the way bad, but I'm sure it happens. I have also heard reasonable concerns about those cables getting shorted out or cut in a front-end collision. I'm not sure what would happen next, but it sounds uncomfortable.