NO problem turning valves while pump running, but make sure to turn them SLOWLY. If you quickly shut off a particular water flow path, the water does not instantaneously stop. The momentum in the water that was travelling in the pipe will bang against the closed valve, and then transmit this shock all throughout the piping. And when that repeatedly happens, the weak points in the piping will burst, especially with wider piping found in pools/spas where there is a lot of water moving. This means the elbows, Tees, couplings, etc will burst and you won't know it for a while. So turn them slowly. For example, to make a 180 degree turn on a valve should take about 5-10 seconds. The valve actuators go REALLY slow, and take 30 seconds or so. By turning slowly, you give the moving water a chance to slow down first and smoothly stop, rather than being shut off with a closed valve, like ramming a car into a brick wall.

The same thing happens when you shut off your bath shower, you can hear the water shock banging in the piping and you'll break those too over time.