I once had a Nexus Player, and it never went into sleep mode. Either it didn't have that option, or it was disabled by default.
Now I have a Shield (2017), and by default it goes to sleep after a certain amount of time. The problem is, my TV's CEC remote isn't able to wake it. Is there any danger to disabling sleep mode? Could it overheat or somehow wear out?
It will probably draw a little more power if it never goes to sleep but otherwise that's how I've been running mine since I got it.
I also set the CPU to Optimized instead of whichever the maximum performance default setting is to make it a little greener. I haven't noticed any issues with this setup.
Idle & sleep are virtually identical - no harm in leaving it on all the time. My TV remote doesn't wake the Shield either, so I always wake up the whole system (Shield, receiver, TV) using the controller, casting from an app, or the back button in the Android TV app. I turned off auto-sleep and just have every thing shut off with the TV remote, at which point the Shield will also sleep.
Here are a couple of links you can look at:
When my Shield goes to sleep and the tv turns it self off, everything turns back on with I press buttons on the Shield remote/controller