Well, the risk of unplugging the headphones while the amp is still on is that you might somehow catch a stronger signal while youre unplugging it, and simply damage your headphones because of it. The risk of unplugging the source is the same thing, unplugging it while its sending the signal to the amp might amplify it and damage the circuitry due to too much info at once.
This of course, is all presumption from my part, I'll say it makes sense this way to me, how accurate those answers are, someone who knows more about the way gear works will certainly be able to give you a more detailled/correct answer.
What I do is, I plug everything while its off, with the volume where I know for sure it wont blast the cans too strongly, then turn everything on including music, wait a few seconds for the tubes to heat up, and slowly raise the volume level to desired level.