Does leaving a manual transmission car in gear (tip:lowest ratio gear offers the greatest resistance due to engine compression) present any disadvantage to the mechanicals of a vehicle? Parking brake has numerous disadvantages to leave it on, especially during wintertime, so it is out of the question if it's good practice. (this part is to avoid being flagged as duplicate again...) Please take into consideration all the factors such as, the drive of the car (fwd,rwd or awd), distribution of masses, or for example if the car is parked on a steep incline, be it facing forward or backwards.
No, it puts some stress on the transmission/driveline, but not much. It's negligible compared to the stress it gets when you drive the car, even when parked on a steep hill. You must have driven up the hill to come there in the first place, so it also won't hurt to stand still on it while in gear. It is often done to prevent a frozen handbrake during winters, as you said. Most of the times the reverse gear is the one with the most resistance.