It's a good precaution. Your mileage may vary. High quality equipment tends to be designed (or amended) in a way where its output does not go nuts when turned off. But that's not a hard/reliable rule. You can turn the amp volume down to "almost off" to make a first try if the convenience of switching order is important to you. There are also power socket lines that switch on/off in sequence in order to automate the procedure.
I also have an old amp with builtin coil reverb where you have to wait for 10 seconds after turning it off before touching the "reverb" pot: if you don't, horribly loud noises come out. Apparently when switching off, the powers die in an order where you have some large DC value on the reverb pot and any movement/scratching of its wiper is horribly amplified.
It's a good idea to learn the quirks of your equipment in non-catastrophic settings first. So I'd try switching the kit on and off with the amp at almost zero setting first and see what happens.
Note that the results may not be representative when you pull the power plugs and don't put them in in exactly the same orientation with respect to the wall plug next time. Different orientations may make for different ground offsets/capacities.