Driving with the TCS off is not advised as it could render the vehicle unstable especially in the Winter. It is a safety feature which can help prevent the vehicle from getting stuck in snow and from fishtailing.
Actually, it is the dynamic stability control that would keep you from fishtailing. It is still not clear to me whether turning TCS off also disables stability control in my vehicle. In a discussion of an earlier model (a 2016 Mazda6, maybe a 2017) that car has instead a stability control off (DSC OFF) button instead which also disables TCS. Are DSC and TCS no longer interdependent or did they just re-label the button? Dunno. After testing with TCS OFF I've not found any particular advantage so I leave it on all the time making the question of integration more a curiosity.
Anyway, there is near consensus agreement in the posts above that TCS OFF should be limited to dry roads. Otherwise, It may also be advantageous to turn it off if the vehicle is stuck.