I was told that a surge protector only works if it is turned on.
So, turning everything off with the surge protector leaves all of those items unprotected.
I was like you, sweetpea, until a storm in which I had pulled the iron and sewing machine plugs and left in the tall Ottlite. Lightning hit a tree outside our yard which fell on power lines. It took out a ceiling fan, microwave, and the black box on the Ottlite.
I now unplug everything when I leave the area. You could also pull the plug on the surge protector.