AFAIK, no problem leaving the headphones in when turning it off, or plugging them in or out when turned on though you should turn down the volume (I have done that many times comparing headphones)
As far as the second part of your question goes, I think unfortunately not possible since IIRC the amplification section is used for both outputs, and thus its power is routed through -physical- switching either to the headphone out (when plugged in) or to the RCA connectors (when unplugged), i.e. the M-DAC being turned off or on won't change that behaviour.
Not sure about the XLR out, but there are adapters. Just be aware that the XLR output is considerably higher than RCA, and MAY introduce distortion on some equipment, esp. at higher volume.