Depending on what you are doing it might not matter. A live PTO -might or might not be clutched, and it also might/might not have an independent PTO clutch.
A switched live PTO can put a large instantaneous load on the PTO. With a PTO clutch, the operator can keep the motor running and still engage the implement under no load. Large implements like balers put quite a load on the PTO & also need a clutch because the load varies, making it handy to use the PTO clutch to avoid problems like a tough spot slugging the feeder.
Bottom line is it's just good practice not to engage/disengage the PTO instantly when it is under a load.
rScotty