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Never ever... You are not supposed to and there is no need to.
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That's not
universally true. While it may be the case in AR land with 5.56, it can be an issue with corrosive ammunition.
I once had a Combloc rifle with a chrome-lined barrel that I fed corrosive x39 ammunition. I wasn't overly concerned about the barrel, light cleaning only, so I forgot about the muzzle brake that I had at the end of it. After about a year I started experiencing vertical stringing while shooting. After I removed the muzzle brake (actually, I and my father -- both rather large men who had to strain mightily to remove it -- with a vice to hold the rifle) the stringing went away.
The muzzle brake had corroded on the inside, probably due to the corrosive ammunition, to the point where it nearly welded itself on the threads and deflected rounds slightly. Saved the rifle though, still own it and it returned to shoot like a dream.
So not an issue for AR owners, unless they're running an x39 upper with a muzzle brake and shooting corrosive ammunition. I'd remove and clean that thing.