According to the owner's manual for my 2006 XL1200C, it states to use the handlebar mounted kill switch first, and then turn off the key switch. I can understand the logic as stated in two previous answers (save arcing on the key switch, and allow the ECM to get any error messages before power is removed).
However, I'm so old school I still use the key switch. I'm in the wrong, but old habits are hard to break.....
Steve Scott