Hey Maarten,
As Stephen suggests you simply need to get in the habit of the best power-up and power-down sequences. You wouldn't turn your amp on, plug a guitar cable into channel 1, turn it up to 8, and then plug in the guitar. If you did you'd expect a huge noise as you plug in that 1/4" connector.
Preamps, EQ, and many outboard pieces of gear can send transients down the audio line when powered on or off. Even our Series instruments will make a huge THUMP if you plug in the 5-pin cable with the pickup switch in the on position. And the reason a single power switch for your whole rig doesn't work is because power amps have big capacitors which keep the amp running for a few seconds - long enough to amplify the preamp's transient to pop.
So the best practice is either to get in the habit of turning your power amp's volume controls down before startup or shutdown, or simple make sure the power amp is the last piece you turn on and the first piece you turn off (with a few seconds delay)...
Jimmy J