It's set up like that in case you have a power failure while you're smoking something. It turns back on automatically when the power comes back on. That way, you won't lose a good piece of meat, poultry or fish with a short power outage like you would without that feature.
It won't hurt anything, afterall, we leave it on overnight while we're sleeping as we do a long smoke. I always unplug it when not in use for that reason. Not a safety concern, but why have it go on when there's no need.