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Saddle valves are mounted on a cold supply line instead of a hot line because the heat of the water decreases the life of the rubber/fibrous gasket used to seal around the hole the valve pierces in the pipe. Any plumber will tell you that flexible parts always fail on the "hot" side of a faucet first. I can't tell you how much "life" you are losing, but I can tell you that NO manufacturer I am aware of encourages installation of saddle valves on hot water lines. Even companies that manufacturer sink-mounted "hot water machines" recommend installation on the cold line. There are some water heating units that DO feed from the hot water line, but they do not use saddle valves.
As far as opening and closing the valve, don't worry about it. The saddle valve only pierces the pipe once. After that there is no further increase in the size of the opening. There is no additional stress placed on the valve by opening and closing it. In fact, you may prolong the useful life of the valve by opening and closing it a few times a year. Plumbing valves that remain unturned are more likely to seize up and fail when you need them the most. I have found this to be a common problem with shutoffs under sinks, which are usually only turned when the faucet is in need of repair!
If there is any leakage around the handle stem when you open or close the saddle valve, use a small wrench to tighten the packing nut enough to stop the leakage. If the body of the saddle valve turns, use a second wrench to hold it in place while tightening the packing nut.
Concerning the issue of freezing, I would suggest that you wrap the tubing in fiberglas pipe insulation... just in case. Don't depend on the connection to the hot water pipe to give you much freezing protection. Because the amount of water drawn through the tubing into the humidifier will be small, it probably won't even be warm unless you have just run the hot water in the sink!