With MCLR-OFF then the PIC is handling MCLR internally and you have I/O capability on that pin. But, if you are not using that pin for any I/O purpose, then there is no need to have anything connected to it. If you have nothing else connected to it then there is no risk of your Programming Voltage affecting any other circuitry. If you do have something connected to that pin, then you need to protect whatever it is from the Programming voltage (purpose of the Diode).