It's an old wives tale with no logic. There are a number of reasons to collect the eggs through out the day if possible. Weather conditions being one of them, i.e. extreme cold or heat. A broken egg in a nest is not only messy, it often times leads to egg eating by the hens. If they pick up that habit it is almost impossibe to break them.
I know of no reason to leave eggs in the nest and risk losing them and or establishing an unwanted habit in the hens.