I've always heard "noise" from speakers when moving around cables with components turned on - others here with a better EE background could offer a specific explanation, but I've run into it with every component I've ever had. Technically, I suspect the recommendation would be to turn everything off when switching cables around and then turn things back on, although practically you're not likely to hurt anything by moving cables around when things are on.

By the way, have you come across this link ?