Several things here:
To clarify, I'm assuming you have a manual trans and you're leaving it in gear and killing power to the engine to hopefully improve engine braking.
There's no need to do this, but it's also not going to hurt anything.
With the way these engines are setup you've already got no fuel going to the injectors if the throttle is at idle and the engine is turning faster than idle speed. The injection pump has a min/max governor built in and at min throttle (ie idle) it's going to completely shut off fuel injection when engine rpms are above the idle set point.
There's no loss of lubrication because you've still got full flow through the lift pump, transfer pump and injection assembly, just nothing getting injected. In fact you have *more* flow than at idle just do to higher rpm. (This is assuming you're shutting off fuel with the normal solenoid - if for some reason you added a fuel valve and shut that off yes you would cause problems.)
As long as the engine is still turning you'll still have full brakes and power steering. The only problem would come if you popped the clutch of stuck her in neutral for whatever reason, then you would lose it.
I am not sure if turning the engine off while still in gear is technically illegal - I know coasting in neutral is but not sure exactly what the letter of the law is. Probably is, but I doubt it'd ever really come up unless you got in a wreck somehow due to that.
Shutting off the engine with an automatic tranny would probably eventually cause the truck to hold back more, but only because the trans would probably blow up - the lube/pressure pump is crank driven, so killing the engine would starve the trans for lube oil. Bad idea.
So bottom line, I don't think it's as bad of an idea as some here, but it also wouldn't buy you anything. The only way to make it hold back better is an exhaust brake, which is an awesome addition, but quite pricy.....