Lannybob,
Actually, it does matter very much so. The reason is because the receiver and servos need a signal to lock onto when they are turned on. If you turn on the receiver first it's possible (and actually more than likely) for stray signals, or the lack of a signal, to drive the servos past their limits and actually physically damage the servos. Also driving servos past thier limit could also damage the plane by moving the control surfaces farther than they are designed to do. The instruction manuals are absolutely correct, turn the transmitter on first and then turn it off last.

Hope this helps

Ken