Anybody sand off their finish underneath the saddle to improve on tone. I'm especially interested in doing this since its poly on a 5120. I've heard it may improve tone and a plus side is it might hold the bridge in place better without having to pin it down.

I personally wouldn't do it, there are many better and less invasive ways to improve tone. But trying to remove the finish in such a small area is full of risk when contact between the top of the guitar and the base of the bridge is so critical.

I don't think there's anything to gain and it locks you into a bridge and string gauge. The poly is hard and thin which projects well. Scratch the bridge base with sandpaper to increase friction.

Don't do it... You'll just be taking finish off. Try a different bridge. or different pickups.

Besides, what kind of improvement is it supposed to achieve exactly?

I read somewhere that some cool vibrations might get through that are blocked by the finish. That poly does seem like a tough shell that must inhibit some vibes. I've already upgraded the bridge and pups and wire harness. It sounds great actually, I'll leave the finish as is

The thought of bill Monroe having scratched off his finish with a bottle cap on his mandolin has left me with the impression that finish dampens sound

Finish dampens sound quite a bit, but you would need to remove the finish from the whole top to get all that sound back.
A Few points to make... - Make sure the bridge is fitted to the top properly - Make sure the saddles are notched & filed well - Size of the bridge base on the top makes a difference - Having the thumbwheels over the bracing transfers the vibrations into the top effectively. Most bridges are within an 1/8" post spacing, so this shouldn't be an issue unless you buy some oddball guitar or bridge.

I have a tru-arc on there with the original base. I figured I'd just have to raise it back up a wee bit to compensate - if I bother to do this at all. I still have a nut replacement to keep me satisfied with yet one more thing to do.

I wouldn't bother removing the finish, that was my first point. You are defacing the guitar by doing so.