I mean as it is cooling. If you play through it, it distorts the same as playing through it right when you turn it on, but obviously fading out rather than coming up to full sound.
I'm not sure that's really harmful. It just doesn't sound all that great.
At rehearsal, I do generally put it into standby before turning it off, but that's because my amp is up so high I have to use a broken drum stick to flip the power switches, and so can only flip one switch at a time.