Care to explain the risk? If there is any I'm quite sure the lawyers of Canon USA had demanded for pages of disclaimers and warning messages ...
Like what I have said, there are electrical contacts on the lenses and flashes which may cause accidental short circuits. When I purchased my flash, the shopkeeper also told me to off both flash and camera before mounting/unmounting. To do things the proper way, I will think it's best to switch off.
Even if someone tells me that it's okie to change lens or flash with the camera on, I guess I will never try it myself (or even suggest/encourage others to try) as I dont know when I will be down on my luck..