It doesn't harm anything, as others note, but might confuse you...On my boat the alternators are shut down by the shore powered battery chargers....so when I look to check if the alternators are putting out current (after engine start) there is often no reading....when I shut shore power off, the alternator output picks up....
A minor advantage of shutting off shore power BEFORE you start your engines is that if anything goes wrong...smoke,noise, etc, you KNOW it's not a shore power problem....In addition, weak start batteries might be masked by battery charger output...and a battery charger breaker might be overloaded and trip as a result....
for those reasons I always shut my electric panel off before starting...that way I know I can go ashore and remove my cable without concerns....it's a "test" of my starting system before I leave dockside...
You should always shut off shore power and boat electric panel circuit breakers before connecting and disconnecting cables...It eliminates electric arcing if loads are present and also the possibility of unbalanced circuits due to non simultaneous "make and break" connection or perhaps shore power problems on the dock...
Connect to shore power last and disconnect from shorepower first..
Always check your electric panel volt meters before turning on shore power to your boat.........they are there for a reason....