Old myth or not.... the fact is that RF energy is usually matched into the Tx antenna. This way you get MAXIMUM output power and a minimum of reflected power. With CB and ham radio gear the output stages are powerful enough to self destruct if abused. RC transmitters are relatively low power and will almost certainly survive some abuse.
However.... why chance it ? There may be only a slim chance of damaging the PA transistor due to overheating but there is still a chance. It may be a long slow degradation process that finally reveals itself when your highly prized model goes in at top speed, as long as it doesn't go into the other guys fiddling around in the pits then it won't really matter !
You could run your car without an air filter on the engine and go round boasting that you have done 1,000 miles in it and NEVER had a problem. Using air filters is therefore not necessary but is just an urban myth.
I have seen recommendations for removing the crystal, and thus disabling RF output, when using the transmitter on flight simulators with the aerial retracted for long periods. Output transistors are matched into the antenna so that they "see" a suitable load. Cause a mismatch, or heaven forbid, remove the antenna and there is NO suitable impedance match.... the outgoing RF will either be far less than it should be, or in the case of no antenna at all.... virtually none ! There have been fatalities already with guys using good equipment, the authorities are going to be really impressed at any fatality caused by some dimwit flying without a Tx antenna !
Reg