I don't think I've ever seen a stomp box with a power switch. This is because they are usually connected to other equipment (amps, pedals etc) and are powered from the same source, and hence turned on and off together.
If you have a piece of equipment with an external power supply (such as a wallwart), it is almost always best to turn on and off the power to this supply, as disconnecting the direct current power lead can cause damaging transients. Also, the power input socket is not usually of a type whose life expectancy is enhanced by frequent disconnection and reconnection.
