When you pull it out of the box you activate the electric brakes and fairly quickly run down the battery. Leave it in place. But I guess that's pretty well settled.
Just to be very clear, are you sure the salesman was talking about that cable, and not the power cord that is plugged into your tow vehicle? You do want to disconnect that one while camping. I'd like to say no salesman would tell you to pull the emergency cable out, but, unfortunately, I can't. I wouldn't tell you to not to believe anything they say, but I'd sure suggest verifying any information they give you.
'11 Eagle 320RLDS
'02 F350 PSD Dually 4WD
DW's Ride, '13 Expedition