Benny is right
The only expert opinion is that of the manufacurer. For Yanmar trannys the manufacturer indicates it is OK to let it freewheeel or place it in reverse.
Benny is right, somewhat. Yanmar suggests neutral with the Kanzaki gear boxes but not forward or reverse. Universal & Westerbeke recommend reverse or neutral for their JS or Hurth/ZF gear boxes. Yanmar DID NOT always recommend neutral and for a while said reverse or neutral but they have changed their recommendation to neutral only.
There are claims that a locked prop induces more drag than a freewheeling one but the so far they are unsubstantiated.
Unsubstantiated?

Actually there are two white papers, one by MIT, and one by the University of Strathclyde Ocean Engineering Dept
(White Paper Link) plus a UK magazine where they actually towed real sailboats through the water measuring drag with strain gauges. MIT the University of Strathclyde and Yachting Monthly
(Article Link) and then my own experiment
(Video Link) all agree and show that a standard Michigan style wheel causes more drag locked than it does freewheeling.
As for reverse or neutral if you have a Yanmar it should be neutral. I lock mine unless I want to sail faster then I shift to neutral. Keeping it in forward can damage many gear boxes..