I always drain it. If you want to convince yourself it's worthwhile, try this simple test: Fill the boiler, makes a few espressos, and then let the machine sit unused for a few days. Before making your next espresso, set aside some of the water flushed to preheat the group into a cup. Let the water cool and then taste it. The water temperature was higher than the boiling point at sea level, so there's certainly no risk of bacteria/mold surviving, but I bet the water tastes a bit funky/stale/metallic.
That's one of the advantages of heat exchanger espresso machines -- the boiler is only a heat source, the water you drink is fresh as the original water source. With dedicated brew boilers, the water is only as fresh as the last time the boiler was flushed. See
Tasted Your Reservoir Water Lately? for related discussion.