The 18R2 controller features a mechanical key switch design. When the controller key is in the off position the circuit is broken and there is no chance of battery drain. So it is not required to remove the AA batteries from your 18R2 when not in use.
However, COBRA does recommend removing batteries when the 18R2 will be out of commission for an extended period of time. if you choose to remove the batteries for storage, you will not lose important information that is stored such as scripts and what devices are synced to the remote.
For more information on best practices when it comes to equipment maintenance please see Controller Maintenance guide.