Tow dollies only support the two rear wheels, leaving the front wheels free to turn. This means the driveshaft will still be spinning when the vehicle is being towed. This spinning, especially at highway speeds, can cause significant damage due to the lack of lubrication under towing conditions.
To be safe, always consult your vehicle's owner's manual and the tow dolly's instructions. The owner's manual will specify the correct towing method, and the dolly's instructions will outline the requirements. Most will recommend disconnecting the driveshaft for proper towing on a dolly.
In short, while there might be *exceptions*, the risk of damage significantly outweighs the convenience of not dropping the driveshaft. It's best to be safe and follow the recommended procedures.