That doesn't happen because I keep the Scarlett's adapter plugged into the power bar. When I start up I...
Turn on the circuit protection power bar (Belkin) which has my computer, interface, flat panel and reference monitors plugged into (I should get a second one for the screen and the monitors and use a different outlet but it doesn't seem to cause any problems). I leave my screen turned on so I start it turns on and I get the No Input screen saver bouncing around the screen.
I wait a few seconds to make sure the computer and interface are receiving power.
Turn on the PSU switch on the back of the computer.
Walk away and do something else for a minute to let the PSU do whatever it is it does and I can see the lights on the MOBO are on.
Then I boot up, log into the system and wait a few minutes so Windows can do its thing and all the drivers are ready to go. Because I installed ASUS Suite but have it disabled in the startup programs I have to wait for it to fail then close the warning. Then I wait for MSE to tell me it's out of date (because I keep the DAW offline) and close those warnings. Sometimes windows update takes a while to throw its warnings so I just do whatever else I want to do and close those warnings when and if they eventually pop up. I haven't updated windows for a while but some updates got downloaded a few months so that's why that happens. Now I have windows set to manual updates. I should really get the system up to date though because I haven't seen any complaints for a while.
If I'm going to use one of my controllers I plug them in and turn them on and wait a couple minutes for the drivers to do their thing and I can see that they are being detected with the little MIDI icon in the taskbar.
If I'm going to use my monitors (which I rarely do anymore) I make sure the monitor level knob on the Scarlett is turned down (as well as the headphone level knob) and flip the switches on the back of the speakers.
Then and only then do I start Sonar.
After I'm done whatever I'm doing I turn down the monitor and headphone knobs on the Scarlett and close Sonar.
Then I turn off the switches on the monitors.
Then I wait a couple minutes and turn off any controllers I've got hooked up and running.
Then I wait another couple minutes to make sure the drivers of the controllers have had time to shut down properly.
Then I shut down the computer via the Start menu (not the computer's start/power button).
I wait a few minutes (sometimes longer) until I see that the power button on the MOBO is the only light still glowing.
Then I turn off the PSU switch on the back of the computer and wait another few minutes.
Then I turn off the power bar.
May seem crazy, obsessive or time consuming but I've gotten into this routine because of various encounters with controllers not responding properly, projects going weird, unhealthy noises through the speakers/headphones, windows being weird, etc when I've rushed through things in some way or another. This way if something goes all funky I know it wasn't because I forced the system to do something it was quite ready for yet.
However to answer the original question if I WERE to use a power button or whatever on an interface I would definitely make sure the interface was on before launching Sonar. Much better if windows is detecting it and it's ready to go rather than making Sonar do somersaults after the fact. That's why I turn on controllers before launching Sonar as well. Don't even give it a chance to screw up.
In fact I have far fewer and much shorter white screens on launching the app than I used to before I went all captain anal about this stuff. I figure it protects all the circuitry and other stuff too and might prevent weird registry stuff from happening.