Connecting laptop to dac via usb- gear on or off?

Never heard of that one. 

Just turn off the DAC first just to be safe

Why not just play it safe and do it, or you can also try frying your electronics but that seems unlikely. Could be for two reasons I’m familiar with, either just potential damage from the sudden electrical connection, which frankly seems doubtful, or the ability of the devices to talk to each other if the USB "hand off" needs to be done a certain way by either device.

I certainly only make the connection with gear off. I was just curious if anyone had ever explicitly been told to do so (as I was by the dac manufacturer) 

Yes, I have a Mojo Audio DAC and was told by them to keep the DAC on except when changing/hooking up cables