That is up to you. Corsair link seems to save settings in the unit it self. I made some setting changes and on reboot even without the software running, They settings still worked(lower fan speed and a different LED color to show things have been changed).
I personally do prefer the way my board deals with fan control as it is more easy to setup, but once you have a setting you like in Link, you can just close it and never open it again.
I did notice that on one open of link(wanted to see the cold plate temp with the board controlling the fans), it did shut the LED's off, not a big deal[I have no window to see the leds anyway], but it may have some minor bugs.