If you turn on the Rx before the Tx then the Rx is free to do whatever it wants to which includes the possibility of starting the motor. And a spinning prop right next to, or against your arm is the last thing you want. It could also respond to someone else's transmitter that might be on at the same time.

However, if you turn on your Tx first, making sure the throttle stick is down (off), then when you plug in the Rx it will only respond to your Tx and nothing bad should happen.