I have had a skylight forced open by the pressure wave from a passing truck. The catches supposedly holding it closed were broken with the force. It was one hell of a bang when it happened. Fortunately it was not raining and gaffer tape came to the rescue - yet again!
Generally speaking .. no.. best kept closed.. although many have been left open mistakenly and come to no harm.. :Blush:
However, it depends on the window, the type fitted on USRVs have a hand crank and open up at an angle with the opening facing the rear of of the van.. so can be left open a little with no risk of being damaged.. they can also have cowls fitted which permit them to be open full way all the time.