Yes, moisture is bad for electronics, and can be dangerous as well (danger of shock, short circuits, etc.). If you live in an area with high humidity, you might want to keep your keyboard in a room where you can control the humidity, such as with a dehumidifier. Moderate humidity is probably okay, but low humidity is better, and high humidity is bad.
If you live in a very humid area, you might also want to put your keyboard back in the box and store it in a dry place if you won't be using it for a while-- it doesn't take too long to put it away or to get back out again later, and keeping it stowed out of the way would also help keep it from getting knocked over accidentally, spilling things on it, getting dust or hairs all over it, etc. And if you keep it set up for easy and frequent usage, it's a good idea to get a dust cover for it.
Also, if you're using a power adapter instead of batteries, be sure to unplug the adapter when you aren't using the keyboard. And if you're using batteries, you might want to take out the batteries if you aren't going to be using the keyboard for a while.