I would power everything down before switching HDMI connections and here's why:
I used to switch connections without regard to powering everything down until one day I could not pass any of the audio/video through my receiver's HDMI ports. Running component cable would provide video and analog out connections worked fine, but I always thought it was my my Blu-ray player. Switched the player to another set and it confirmed the problem was in the receiver. Since the receiver was under warranty, (Thank goodness for the 2yr Pioneer Elite warranty) I took it in to an authorized Pioneer repair facility. About 6 days later the receiver was ready to be picked up and they had to replace the HDMI board and a few other things. Told me to be glad it was under warranty!! Asked about switching HDMI connections while receiver/devices were on and they said it wasn't recommended, as it could end up shorting out your HDMI board.
Needless to say, you don't have to tell me twice and I now power everything down before switching connections.