Reply to Should you only disconnect FW soundcards when your computer is off ?

So I got a Focusrite PRO 24 yesterday and it came with a warning.
It said to only connect and disconnect the device when my computer is turned off.

Is this a thing ? I never knew that that it is important.

I have a MBP and I almost never turn it off, it's always in sleep mode.
What if I want to connect my FireWire HDD ? Do I need to restart my computer, unplug the focusrite and then plug in the HDD? Seems like quite a hassle.