Generally, leaving it on is a good course of action; the switch, whether it's a button, twist-contact, switch, magnetic reed etc. is a potential point of failure, and bulbs tend to break more as they're cycled than when they're just "on." So the recommendation that lights not be turned on and off in the water is there to minimize the chances that you'll end up underwater, in the dark, without a light.
All that being said, all underwater dive lights that I've ever seen are more than capable of being turned on and off while underwater. I'd be a bit dubious of any dive light that wasn't designed to handle being cycled while submerged.