To be clear, yes, the clutch would fry. Reverse is a higher gear than low, at least in the '21 and earlier Pioneers, so the clutch is already at a disadvantage. It'd be like backing up to a brick wall and then giving it the gas!
Holding the breaks is good. Worth considering, if ground is loose or traction is an issue or pulling a heavy load, would be to tie the back of the machine to a stationary object, chock the wheels etc.
Having two batteries is a good idea, especially if you are ever in a situation where you need to winch but can't run the engine to provide a bit of help with the current load (though the alternator only has something like 50 amps available, and that's with the RPM's up, not at idle! Also, the winch can draw over 200 amps at near full load, so having the winch on the Aux battery, with a True (or similar) dual battery management system ,means you won't likely leave yourself in a lurch, unable to start the engine.