If you shoot exclusively in RAW, and process the photos yourself, then it doesn’t really matter whether it’s on or off. If you want the embedded JPG preview of your RAW file to look nicer, you might want to turn it on. Otherwise, just leave it off. When you adjust shadows & highlights in Lightroom/RawTherapee, you’re doing basically the same thing. 🙂
To say it another way, Active D-Lighting does not affect the RAW image data in the least. A RAW file is just that, “raw”. No processing applied. Many of the “picture presets” and other things that DSLRs do are relegated to JPG files only, (or, as I mentioned above, the JPG preview of the RAW file).