Yes, Yes, leave the preamp on all the time. It was designed that way on purpose. It would take a few hours for the FETs (Field Effect Transistors) to get up to speed if you shut it off. By the time the preamp warmed up fully, you would be done listening. It uses a tiny amount of power, so don't worry about your electric bill. None of the Conrad Johnson/Sonograph/Motif preamps have on/off switches.
You should not shut off everything at once by way of the surge protector. The general rule is amplifier on last and off first, for the very reason you state (loud pop). Since the amp is still on, it amplifies the shutting off of your other gear. Could cause problems eventually.
Some AC power conditioners/surge protectors (Adcom and Rotel come to mind), have circuits that automatically turn the equipment on and off in the proper order when you hit the power switch on the AC power unit.