Old thread, I know, but ... I was the translator and co-writer of the manual for the OP's Schoeps mikes, and AFAIK the main reason manufacturers advise people to connect microphones before turning on the phantom powering is to help you avoid consequential damages--the Big Bang that can course through your preamps, and possibly power amps and headphones and/or loudspeakers if connected, thus possibly damaging transistors, speaker cones and/or your and other people's hearing.
But while I'm not saying that this is something you should always do, it should really be no hazard to a properly designed condenser microphone if you connect it while (correctly implemented) phantom powering is turned on. Heck, at trade shows people from Schoeps change capsules on their mikes while leaving the power on, although that isn't recommended everyday behavior, either (plus they have a stockroom full of replacements in case something does blow up--but I've never heard of it doing so).
This should all be rigidly distinguished from parallel powering (a/k/a "T" powering), which can definitely damage dynamic microphones (particularly ribbons), but fortunately is rarely used any more.
--best regards