I set up a dual purpose leash that works to both hold the anchor in place underway and then take load off the windlass with anchor depolyed. Obviously it takes lots more tensil strength to take load off the windlass with the anchor dug in than it does to help secure the anchor to the bow rest. I had a local sailboat rigger make up a leash using Spectra (a high tech fiber rope that is stronger than chain) spliced to a SS chain hook (hook must be sized to the chain). However Spetra, like polypropylene, does not hold a knot or a cleat very well, so he spliced a nylon rope "jacket" to the Spetra for cleating off. It's just like the nylon covered polypropylene rope we use for a dingy painter, it floats (poly pro) but also holds a knot, (nylon jacket).
Like Knotflying I don't think there is any issue with pulling the windlass in tight when the anchor is up, but I tie it off with the leash to prevent "runaway" windlass leading to anchor in the prop at speed, or God forbid an anchor dragging and bouncing behind the boat at 60 mph on the freeway. We have had three instances of runaway windlass in our boating life so it is not unheard of.
If I use more anchor line than the 100 feet of chain we carry I just cleat off the rode to the cleat forward of the windlass. If I only have chain out I hook the chain with the leash and cleat it off.
Either way let out a little anchor line after its cleated off to release pressure on the windlass.