Does turning off an appliance (e.g. vacuum cleaner) at the power socket have any negative affect?
Yes. you are causing arcing at the outlet which, over time, will damage the contacts in the outlet (as will as the prongs of the plug). The device's switch, on the other hand, should be designed to safely switch the current drawn by the device.

For a low-power device, such as a desk lamp, it doesn't matter that much but for a higher-draw device such as a vacuum, you should use the switch.