Keyed power is the recommendation by all winch manufactures.
If your SE came pre-installed that way then it was installed against Hondas direction.
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The '21 LE and SE come from the factory with the winch already installed, not installed by the dealer (at least that's my understanding). Delivered with contactor directly wired to battery. No panel switch, no lights. To use, you plugged the included wired remote into receptacle in glove box. Said wired remote only allowed one to reach the front to guide line back on drum - no further.
I may be missing something, as I see no advantage in requiring key-on to operate the winch. Though obviously if there's a panel mount switch or wireless receiver (such as I have), there would need to be a disable switch to prevent inadvertent winch operation.
I believe there's an advantage in not requiring key-on to operate the winch. If the engine can be run, that's best of course, as that'll help some with the electrical load. If the engine cannot be run, for whatever reason, then "key on" simply wastes main battery power. Avoiding the need for key-on, in order to winch, also eliminates that potential point of failure. Winching could still be available in the event that key-on doesn't work.