I have heard of people doing it after every session, but to my mind that just increases the chances of damaging the gun .... if only by eventually buggering up the screwheads and such. On a good quality muzzle-loader, the lock-to-barrel and wood-to-metal fit should be tight enough that little or no fouling can get into the lock. When I shot muzzleloaders regularly, I seldom removed a lock for cleaning inside .... maybe once a year or so .... then oiled it well before reassembling, so the wee bit of fouling which might creep in would do no damage.
(Mind you if you are using water-based cleaners, and some of that runs in behind the lock, you'd best remove it, dry well and re-oil.)