I've always felt the better way is to shut off the load before switching..turn of the AC, water heater, microwave...before plugging in. I don't think it matters as much if you leave the genny running to cool down while you plug in, but I can follow the thought it makes sense to shut down cold before plugging in.
That said, I do believe it's made to be able to switch under load and I've never sweated it.
That said, i can't think of a time I didn't shut down the genny before pulling into the campground or park just to be polite to the neighbors...so I'm not sure if I've ever plugged in while the genny and AC were pumping.... although I probably have at some point.
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