There are two schools of thought on this one. As Stuart says, there is an argument that they are better off airtight. Certainly they are very safe like that, although there have been whisperings about NGC not handling coins carefully, and leaving bits of detritus in the locked casing.
On the other hand there are proofs from over two centuries ago, which are still FDC. I'd say that if the proof remains unslabbed then its main threat comes from you the owner via careless handling, accidental micro saliva spillages through talking whilst handling, and the like. .
For reference I'm not slabbing mine, but I am in the process purchasing a new small cabinet dedicated to proofs and patterns, and I will be wearing a face mask and gloves when looking at them.