"Eventually"? Yes. Whether that should be a concern to you is debatable.
The fact that a magazine spring will "break in" and take a set isn't exactly a good thing... technically. That means the spring steel has undergone some plastic deformation and lost some of its free length. Good thing is, this is not a self-perpetuating problem. As the spring free length is reduced, so is the spring rate, albeit slightly. This reduces total force the spring will exert when compressed, accordingly so is the stress it sustains. At some point, there will be an equilibrium point where the stress is less than what it takes to induce further plastic deformation. That's the spring "taking a set".
A good magazine design balances between competing goals:
1. Minimizing weight and bulk
2. Reducing stress/wear on other parts of magazine (lips, for example)
3. Maximizing service life
If a magazine spring takes a set, it could be that the engineer intended for the above mentioned equilibrium point to be reached quickly. You can, of course design a magazine spring that have so much capacity that it will never take a set, but then you add weight and bulk... or mfg cost using higher-performance material. Good design means a magazine spring is just long/strong enough to perform well in its expected service life.
So... should you worry about all this? Depends on how anal you are, I suppose. Magazine springs rarely fail catastrophically, so you can always change them out when you start noticing performance problems. More than likely, a quality magazine in civilian use will outlast you and your children combined.
Personally, I use them to the full capacity... in general. On lower capacity mags like my Shield 40 and Bodyguard, which only holds 6 or 7rd, by golly I'm using every last rd of capacity I paid for. OTOH, downloading a 20rd mag to 19 probably isn't gonna make a whole lot of difference tactically. Not a bad idea especially if that 20th round is a bear to push in.
BTW, I doubt anybody can load/unload a magazine fast enough - or often enough - to frequency-fatigue a typical magazine spring. To do that, you'll have to exercise the spring at high frequency and duration, which a normal working magazine will never experience.
Suffice it to say, if I have an antique German Luger .45, I probably would not load the magazine full and leave it sitting.
