If a baby is allowed to continue crying for too long then the excessive crying can eventually lead to brain damage in the baby.
It's always best to go check on the baby and comfort them even if that's all they need.
Babies are a huge responsibility and require lots of work and love from the mother and father.
If the baby continues to cry for longer than an hour and hasn't fallen asleep then go into comfort them or check on them to stop the crying.
But you can let the baby cry it out if it only lasts an hour or 2 but any longer than 2 hours you really should go into check on the baby.
Babies will tend to cry a lot even during the middle of the night for the first 6 months of their lives and you won't get much sleep but eventually that will go away and they'll cry less.