I agree that preamp should be turned on before the final. If you do it that way, there is no thump, right? Some preamps output a wave when their power rises, then settle back to normal. There is such a thing as a no-thump circuit, but some preamps don't have it, and that is why people have the habit of not turning on the finals until the preamp settles. To make a no-thump input, the designer has add a circuit that disables the preamp output for a couple seconds until the channel settles in. It's one of those nice little touches to the design.
If the preamp output had a leaky output coupler cap you can measure the leakage with a DC meter. After the preamp is up, output should read zero volts if the output is OK. A quick meter will also show you the "thump" wave when you turn it on.
If you power the preamp first, then the final, and still get a thump, then you might have leaky coupler cap in preamp.