Hey y'all, quick question : is it bad if I plug the jack in my guitar or in the amp when the amp is already on ? And I hear the BZZZ...KRRR... ?

As far as I know, it's perfectly fine. That sound comes everytime the jack makes contact with something anyway.
I dont think its bad. You can unplug it while its on, it will make similar sounds to when you plug it in on. I do it all the time when I change guitars.
It's not good for the speaker and it sounds terrible and very unprofessional while onstage. It's also a bad habit to allow yourself to develop. My amp has 3 channels and one of them is just an "off" setting so I don't have to turn it on and off just to switch guitars. If you get a volume pedal you can avoid the sound and thus avoid the damage to your speaker.
"Stop shooting me!!!GAHHHH!!!"
<(0_0<(>0_0)> FU
^(0_0)^^(0_0)^ Sion
(>0_0)><(0_0< HA!!!