I wouldn't recommend that you use the main switch on the DPS as a regular on/off switch. You will notice that it does not even get slightly warm whilst on if the amp connected to it is not on. As long as the amp is not drawing current, the power draw from the DPS is negligable.
That being said, you should always turn the amp off first, and on last to protect it (and your headphones) from any potential on/off surge (somewhere between very unlikely and impossible I believe) from the PSU.
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