I woke our LO for the first 3 wks or so for a feed as he arrived at 36+6wks and was jaundiced and drowsy and struggling to latch on - advice from the midwife.
He's 2 and a half months now though and has just started sleeping through the night, but I wouldn't wake him now as it's not related to his early problems.
I've been so paranoid about supply (unnecessarily), that next time around, if we had a baby that slept through from the start, I would probably feel like I wanted to wake them just for the first few weeks until I was confident the milk supply had established. I'm not sure I would advise this though - I think it's more a paranoia I have to overcome!
You could just pump a bit in between feeds if you're concerned about supply. That way you wouldn't unnecessarily encourage them to demand a feed at night if they're happy to sleep through, but would still be stimulating the milk flow a bit more.