I shut mine off. Not just because the directions say so, but because it is cleaner and safer. If you raise the loader arms high enough, they barely move at all when you relieve the pressure and there may be a drop of fluid on occasion. You can park your loader with considerable clearance above the tires. Also, make sure your bucket is leveled to the surface on which you are parking the loader.
As the fittings wear or if you insert or withdraw them a little imperfectly, you can get a nice high pressure spritz. I've seen ball valves stick before and there is a risk, albeit slight, that you could inject yourself with fluid as the warnings state.
A couple more minutes, an extra shut-down/start-up, and I will never have to explain why I wasn't following directions if I damage something or if I am injured. Keep in mind I'm pretty conservative when it comes to safety. When companies try to deny warranty claims, they always look to see if the operator contributed to the problem. /forums/images/graemlins/frown.gif
Just my $ 0.03 worth.