I don't think this question really applies to every day users. More to collectors. Some sheath materials will react with the knife and possibly stain the blade or cause rust. This is more of an issue with high carbon and damascus blades, but very few "stainless" steels that are hard enough to make a good knife really are completely non reactive and truly stainless. I have an old Al Mar boot knife I think called the Fang. When stored in the sheath, the leather reacts with the brass and really causes an ugly green buildup on the bolsters. It can be cleaned off and doesn't seem to harm the knife itself in this case, but it does seem to have affected the sheath a little over the years.
Storing the knife in the sheath also causes wear on both the knife and the sheath as every time you take it out to look at it you're slifing it in and drawing it, using the blade retention strap, etc.. This all causes the knife to be less collectible. I hear Kydex sheaths can cause markings on a highly polished knife although I can't attest to having a Kydex sheathed knife at the moment. My suspicion is that Kydex by itself isn't hard enough to scratch RC 58-60 hardened steel, but from the dirt and dust that gets imbedded in the Kydex. Then again, leather makes a good strop, and it's much softer than the steel.
As to storage options, if you're going to buy anything really nice (or already own nice knives or firearms) the best thing you could do would be to buy a safe. You can get a meaningful safe for around $400.00 and then add a $25.00 "dry stick" which is a little rod that plugs in to the wall and keeps the moisture in the safe under control on an ongoing basis whereas regular dessicants wear out/load up. For the price of one nice custom or a couple nice production knives, you can have real security for your important stuff.
Of course for only $400.00 you get a CRKT level safe. You can bolt it to the floor in a closet and it'll keep out 96% of the people who might ever burglarize your home and keep your valuables under your control. I have a Sentry chinese manufactured safe with a 1/4 inch thick door, 5 1" deadbolts and internal hinges to keep the door from coming off once locked and it's bolted to the floor from the inside with 1400lb concrete anchors. It fit's in a closet under the clothes rail and will hold several long guns, several pistols, a bunch of knives and all our important papers.
For around $1000.00 to $1500.00 you can get a pretty good sized one that will still fit in a closet and will keep out 99% of all criminals and be UL 30 minute burn rated. Like any other catagory of "luxury" items, with safes, you can find some really high end stuff. I lust after a Fort Knox but don't see spending a few thousand for a fairly small safe in the near future.
If your curious check out deansafe.com. They're local to me, but they have a pretty decent website and are knowledgeable people.
jmx