Wind is an awnings worst enemy! If you will have extreme winds &/or severe thunderstorms I'd pull it in. You can tie down an awning but in the chance that an anchor comes loose or the fabric starts to whip too much it can indeed be damaged tethered or not.
We've seen many awnings left out that ended up ripped off, twisted back over the top of the RV, swing sideways taking out a window...so, it's really up to you...how often do you wish to replace it? How happy will you be if it damages the side of your RV?