From the OS' point if view, you can use either win-key or back-key. You aren't loosing anything either way. A core principle of WP is that you shouldn't need to worry about such things, but buggy apps that don't resume correctly can screw that up. Ignoring buggy apps, whatever you do is fine.
That a background app doesn't use any resources isn't correct. In most cases it uses RAM (I won't go onto details), but that isn't a bad thing... that is what RAM is there for... leaving apps open doesn't mean that other apps have less RAM either.