Should I charge the Magic Keyboard 2 only when needed?
In general, keeping it connected all the time will not damage the battery.  Apple has designed these peripherals to only accept a charge when it's needed.  When it doesn't need the power, it simply will not use it.

However, it's a good practice to periodically, every month or so, unplug the keyboard and let it run on its battery until it gets very low (below 10%) or stops working.  Then you can plug it back in and leave it alone while it charges.  Apple has a nice section on batteries and their maintenance here.