Been shooting cap and ball revolvers for nearly 40 years. Once, I neglected to remove the nipples while cleaning the chambers with hot, soapy water.
The nipples rusted into place and required Knock 'er Loose penetrating oil to remove them. I'll never make that mistake again.
Yes, you should remove the nipples each time you clean the cylinder. Aside from the possible rust issue, it also makes it easier to reach fouling in the nipple cutout of the cylinder.
I twirl a tiny brush in the threads of the cylinder, to remove any fouling. Once all parts are dry, I put a small amount of olive oil or Gorilla Grease anti-seize compound on the nipple threads before putting them back in the cylinder. This makes removal easier later.
No need to bear down hard when screwing the nipples in. Just put them in firm.
Removing a stuck nipple is an onerous job. Why risk having to do it by not removing the nipple for cleaning and a dab of lubricant?