The lever you are talking about on your ductwork is there to allow air to go around your A/C coil in the heating mode, so that you don't have to push all the hot air generated by your furnace through your A/C coil. It isn't as crucial for heating operation as it is for cooling, however if it is left in the closed position for the winter it could cause a reduction in air flow through the heat exchanger and cause your furnace to go out on high limit.(too much tempurature in the heat exchanger)
It is more crucial in the cooling mode, as it forces all the air through your A/c coil in the ductwork. If you were to have this damper open during the cooling mode(winter setting) you would allow quite a bit of air to bypass your A/C coil possibly causing your A/C unit to freeze up and cause damage to your compressor. You would have poor cooling and poor dehumidification in this position.
Hope that clears it up for you, good luck