Between Sets: Stop
Between Set and Encore: let it record. A bit of the audience begging for encore belongs to the recording. if too long i can always shorten later if needed. And even after that let the recorder run until the lights go on again, or they begin to build down the equipment of the band.
Not mentioned yet. But if a tech. issue happens to the band (guitar amp broken or like that) i let it record too. you don't know what happens in that situation and you can catch some unique situations on the recording.