It depends on the lens, but it's a god habit to get into. Doing a "safe shut-down" ritual on a lens that doesn't need it has far fewer consequences than skipping the step on a lens that does.
In-lens optical stabilisation systems work by floating one or more lens elements under the control of servo motors. While VR (or IS, or whatever the brand name is on your camera) is active, there is no firm mechanical connection between the lens's stabilisation element(s) and the body of the lens -- it's essentially free to flop around inside the body if the motors aren't running. If you shut off stabilisation on the lens while the camera is still powered up, the element is returned to a neutral position and mechanically locked in place. If you don't, then the lens is still free, but there's no longer a motor to keep it in place.
Not only does that mean that the lens is less delicate to transport, it also means that if things go wrong and the element gets stuck, you're left with a non-stabilised lens that has all of its elements centred. If the element were to become frozen somewhere outside of its normal range of controlled motion, you'll be left with a lens that is visibly degraded; softness and vignetting will be centred around the lens's optical center, which will no longer be the centre of the image. In other words, you'll have a lens that makes really nice pictures only if you keep the subject, say, left of centre in the image.
I remember a time when we had to run a head-parking routine on hard disk drives before shutting down a computer. It wasn't always necessary, but if the computer were bumped or moved with power off and the heads unparked, there was a good chance that you'd lose your disk. Modern drives (basically everything made since 1993 or so) autopark the heads -- the "park routine" is just a spring, so you don't have to use the motor to move the heads to a safe position. VR/IS lenses will probably be the same as time goes by -- but it's the lens you're using, not the camera, that determines whether you need to let the stabilisation system centre under power or not.