It depends - if you can turn off your return, do the water change and not have the level in the sump drop below the fill sensor, then it will make no difference if you leave it on or not.
I put the new water into the sump and use the return to pump it back to replace the water from the display. The return pumps faster than the hose I use to siphon the water in, so the level in the sump drops - if I leave the ATO on, it will start to fill. I guess that if you add the make up water directly to the display, you won't have this issue; although I find it's easier and less disruptive to add the new water to the sump.
Every setup is different - as long as your ATO is not dumping freshwater in (or being left switched off) then whatever works for you.