Okay, there is no need to shut it down, but if it is your way, than so it'll be.
Dust is being kept out via the small "curtain" in or behind the slot, I don't know if it will be removed by removing the HDD.
But dust will get in with or without the curtain.
I opened my MBP to replace the HDD, and dust was inside.
I don't know if the MBP will power up without the optical drive, but chances are it will. Why shouldn't it? The Mac will still boot from a DVD, even when no HDD is inside.
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But in all honesty, it would be safer just for guarantee's sake to let the optical drive sit where it is and use the sleep function.
If your worried the MBP will burn down, it will not get hot or so, unless the battery is faulty, which is less than 1% anyway.
You can also shut off the power line and the MBP sleeps using battery power.