The short answer is: yes, if you're a racer you should shave your legs through the winter. There are three main reason why:
ONE: ROAD RASH
Yes, there's no racing, but when you start ramping up the effort and doing race-like group rides, and mixing it up in the mock sprints, there's always the possibility of going down. Shoot, there's the possibility of going down when you're just commuting to work. And cleaning/treating road rash with shaved legs is way easier than hairy legs.
Everyone remembers shaving for the first time, or shaving after taking a month or two off the bike for one reason or another. It takes for-freaking-ever. And it's messy - hair freaking everywhere. And it takes like two razors. It's much easier to just take two minutes once a week and drag a razor over your legs. You don't even have to do a very good job of it.
If you're putting all the time and effort into getting faster, your guns will be looking cut and good, and there's no better way to show that off than shaved legs. Plus, it's simply a symbol of your dedication, and why wouldn't you want to show that to your peers?
(FOUR: JUST CAUSE YOU SHOULD)
(Quit complaining and making excuses!)
All that said, many racers will let their leg hair grow out through the cross season and won't shave until they start training seriously again in the winter, or some who don't shave because they're feeling lazy or have been racing for so many years they just don't feel like it. So there are always exceptions, but they also know what they're doing.