I ordered one with the car and have used it a couple of times and whilst it does make a difference (just about totally draught-free with it in position) most of the time I can't be bothered as it's not particularly draughty without it anyway.. Probably helps most in the winter.
And Yes, you can leave it in position with the roof up. If you don't use the back seats you could leave it in all the time.
It comes in a leather-look plastic zip-up bag which just sits in the boot. Think the price they charge is extortionate for what it actually is though - a few bits of bent steel tube and some mesh.. But then since when were factory options good value?