I can't imagine a scenario where shorting an input would cause noise on the output but I suppose it won't hurt to turn it off first.
Here's one possible scenario: As he is inserting the foil or whatever he uses to create the short, it comes into contact with the center pin an instant before coming into contact with the ground. Meanwhile, his body is in contact with the foil. The static electricity on his body (perhaps he's even just been walking on a carpet) discharges into the center pin, then is amplified by the 80db or thereabouts that the system gain is likely to be, from phono input to speaker output. That's a voltage gain of 10,000 times.
Not something I would want to risk doing on my system!
Regards,
-- Al