I like having my work stored on my USB for transportability purposes, but I was wondering if keeping it plugged in all the time has any drawbacks or disadvantages?
I'm using THIS really tiny USB so I can just plug and forget it.
Any advice would be great.
It's fine. The only worry I would have with a normal thumb drive would be the risk of hitting something and breaking it or the port, but the drive you linked is so small that won't be a problem.
It won't harm anything, but it will prevent your Mac from entering stand-by mode if it is a newer machine that supports that. So the battery life when asleep will be significantly worse if that matters to you.