Withdrawing from course in a PhD Program (i.e. W on PhD Transcripts)
I withdrew from a class when I was a master's student: no one has ever cared why I did. I was later accepted into multiple PhD programs and a post-doc. 

I would have a prepared answer for why you withdrew from a class. "I withdrew from Ballistics 782 in order to better focus on my research. I produced two papers that semester." 

If you ever think you would have a chance to go back and complete the course in another semester, withdrawing is even less of a risk. One W will matter little in the long run. (And likely even in the short-run).