Thank you tommyph,
I was afraid to damage my printer just by directly switching on / off button. I've got a problem with my heated bed with the message "ERROR : MAXTEMP ERROR BED" (but I think it's surely relative to the connector of the heated bed and not the way I power off the printer). I read on internet that some users prefer to use "cooldown" before powering the printer off. According to whqt I read, It's very rare, but in some cases, the heated bed continue to heat even after the end of the print.