I’ve never heard of any recommendation by Elektron directly to turn everything off before plug or unplug. Usually an expectation like that is outlined in the manual, and since it isn’t, that’s a clear sign that they aren’t looking for you to power down before changing cables. I’ve never had that issue myself either, but it doesn’t mean someone else hasn’t. You could mention it, but they might also tell you the issue is likely with what you plugged in, rather than how you plugged it in.
I don’t know why your soundcard or audio interface would zap you, but I suppose it’s possible? It’s also possible you somehow built up a static charge in your body and it zapped you on the lightly coated metal (ferrous steel) of the screw but it’s really difficult to say just from guessing. My thought is that if Elektron services your machine, even if they fix whatever else is wrong, the issue with the shock will remain something separate. Hopefully you can get it figured out though because it sounds annoying.