It's ok to turn it off. Many do, although I don't.
Just remember to turn the gas back on before you pour as it may affect your carbonation. For example, if you pour four pints with the gas off and the leave it a week, you'll be left with under carbed beer in your keg.
The reason that you'd turn it off would be if you're worried about losing gas. But if your seals, lines, disconnects and taps are air tight, you should be fine.
That said, I did blow a full bottle last year of gas due to a dodgy disconnect.
It's up to you, but turning the gas off shouldn't cause you any problems.
Edit: typo.