I can see sticking being an issue with some guns, but quite often it's possible to either disassemble the mag to get at the capsule from the sides, or to just be able to access the sides anyway; like with CO2 M1911 magazines, the capsules are wider than the mags are, so getting them out is a doddle.
The only way they'd ever stick, would be via the walls of the mags catching the capsule to the point where there's too much friction for it to just tip out when you turn the mag upside down. You'd have as much trouble getting it out when it was still gassed, as when it was completely empty, whether it'd been left fastened in there for months, or not.
I think Proffrink is probably more likely to be right with the seals being under too much pressure to last if they're held under it for too long. I know from experience that CO2 mags tend to be quite shit because of the lack of silicone in the gas anyway, none of mine ever lasted more than 10 capsules, even with consistent maintenance.
Either way, I think it's safe to say that taking them out and dousing the mag's internals in silicone oil at the end of every skirmish day can't be anything other than a good plan.