Disconnecting the power supply is not mandatory but it is a good idea for the reasons mentioned. By "power supply" I mean the low-voltage supply to the game board. This is normally a metal box with an AC input and a multipole connector carrying the low voltages to the JAMMA harness. If this is the layout then simply unplugging the AC input to the power supply box will disable it.
On some cabs, all the power is inside one integrated unit, including the monitor power and isolating transformer, if there is one. In this case it's not so easy.
In these cases, it might be easier to leave the power supply enabled, but if you do so, make sure you never plug in the J-PAC backwards. The JAMMA connector should be keyed but often is not! Even worse, I have seen a lot of JAMMA connectors that were fitted to the harness backwards, ie the markings on the connector indicating pin 1 were at the wrong end.
Andy