[Arran]

 I would say that it depends on how the radio is wired, particularly on how the line capacitor is connected. In some sets, like brand Z radios, they had a habit of connecting the line capacitor straight across the power line ahead of the power switch, so that capacitor always has a potential across it as long as the power cord is plugged into the wall outlet. Of course (unlike Philco) brand Z also liked to use hot chassis power supply designs where the steel of the chassis was connected directly to one side of the power line, so much for the quality going in before the name goes on? On many sets though the line capacitor is on the radio side of the power switch so whilst the set is turned off the line capacitor does not have a potential across it, in my opinion this is a safer radio to leave plugged in. On any of my sets that left the factory with the other sort of line setup I have or plan to change this, I know that using a safety capacitor mitigates any potential for the cap shorting out and exploding but I still prefer it this way.
  Now if you are in an area that gets a lot of lightning storms, I would probably leave the set unplugged, or at least plugged into a surge protected outlet.
Regards
Arran