I normally plug/unplug MIDI cables while powered down, but I have done it in & out of various MIDI modules, keyboards & my hardware sequencer while on, because shutting everything down just seemed like to much trouble. [1 keyboard, 6 MIDI modules, 1 sequencer - then having to press dozens of buttons and reassign and/or load things again]
As for that article, that's 14 years old now, and although MIDI had been used for a while by then already, it was still foreign to many & still coming out of it's infancy compared to today, for some, so that 'Caution' note on page 7 might have been simply stating precautions for use more than anything else.
Virtually all manuals & instructions will suggest having things turned off before any connections are to be made - standard policy from everything I've seen over the years. [Mainly for law suits and legal ass-coverage more than any other reason.]
But even though it's nominal [minimal] voltage connections that you're making & breaking, it is at least some amount of voltage nonetheless, so probably best not to do it 'hot' if at all possible.