The correct sequence is to power off the amp before the preamp (the sequence is reversed for powering on).
These are high tech designs, but the amp is purely analog! When you have hundres of discrete analog devices on a board (each one of them have slight variation), there will be slight differences in behavior. For example, at 1KHz, the THD measurement is slightly different for every amp but as long as it falls within a range of 0.01 to 0.04%, it passes production test. Even the same amp would measure slightly different every time.
When the power gets cut off, as the capacitors decharges, we can not guarrantee every amp behave exactly the same. If you turn them off in the right sequence, there should be little or no turn off sound. But some small amount of psst, tuuup is normal. It will not harm your speaker.