Battery switch
 

Does the battery still drain with the switch off?

You're supposed to unplug the battery when not in use, like any other RC.

Yes, it will. Slowly but it will.
But more important, the reason why you shall always unplug the battery after use is that the switch will kill the bec from energizing the receiver, but the high current components of the esc (the power fets and surrounding components) will remain under power all the time. This is a no-no both for reliability of the esc and because in the worst scenario a sudden problem to the esc could get the whole rig in fire if left connected to power and unattended.

Rockspider hit it on the head. You didn't mention if you are running a lipo battery or not. If so, you can do MAJOR damage to the batt by leaving it plugged in with the switch off. Just unplug the damn thing when you are done running... I've learned this the hard way.

Besides the items already mentioned, having an on/off switch is another chance for the rig to get turned off when you least want it.

Yep which totally sucks during comps almost all guys take off the switch and solder the wires together. I just keep my switch in a hard to hit place so I can reuse the ESC on another car or rig later on...your choice though!

Lipos are pretty hazardous anyway. Personally, I don't leave them in the house when they're not in use, let alone plugged in. I built a battery bunker out of cinder blocks to store and charge from while at home. Only had one lipo fire. Luckily I was outside and was charging on a metal surface and had ammo cans nearby. Otherwise, the smoke and heat would surely have burned the place down. If they weren't so volatile, I'd put one in my survival kit to use as an emergency fire starter and smoke signal. Gotta love lipos, but gotta respect them too.