Nigel,
No, you don't have to turn off the air to swap tools, regardless of the quick-disconnect coupler (unless the coupler freezes in the open position). Just make sure you've got a decent grip on the tool and the hose coupler when you disconnect. The air stops when the coupler is removed from the tool.
I'm with Monte and others... I love the Prevost couplers. Before I started using them many years ago, I didn't fully appreciate the myriad of cases where I like leaving the tool connected to the hose but free of air pressure. Some are obvious... old framing nailer with bump nailing (and no safety), for example. Any nailer where a small child might pick it up unexpectedly. Some are less obvious until you use them or have a laziness-induced mishap. I can't be the only one here who has slung a bunch of compound on themselves and the walls by bumping the palm switch when putting compound on the pad of a polisher with the air on. Or tipping the sander over on a workbench, having the palm switch get tripped by something next to it and watching the sander dance off the bench. Or activated the die grinder when its hanging in my tool belt. With the Prevost it quickly becomes habit to release the air pressure before setting the tool down or hanging it in my belt.
In 2010 I bought some of the Milton copies of the Prevost. They worked OK for a while but one of them has started failing miserably (doesn't close on release). They were half the price, but appear to be less than half the quality. None of my Prevost have failed and I've used and abused them for a long time.