It is very important. The turbo is cooled and lubricated by the oil pumped to it by the running engine. On all turbos they are spinning/working whenver the motor is on due to exhaust spinning the vanes in the impeller section of the turbo. Without a shutdown period two things happen, first the turbo is spinning much faster it takes some time to spin down to a slower rpm (they can spin well over 10,000 RPM) second they are not being fed a constant stream of oil to cool the bearings down. Turbos will COKE with burnt oil deposits Over time this will lead to turbo failure which will result in Major $$$$ especially if the turbo seizes and sends little turbo pieces into the Engine.
I am not saying it will happen, In fact I have seen lots of folks with 200,000 mile plus on turbo diesel motors just treat em like a gas engine, but it certainly cannot hurt, and whats a couple minutes compared to the cost of a turbo that a warranty may not cover
BTW the manual for my Cummins says to allow 1 minute cooldown after running the motor for any amount of time, 3-5 minutes after heavy use.