I never turn mine off,but then again i don't have a waterfall.It is not a good idea to have a waterfall in winter but i used to lay the pipe directly into the water instead.Keeping the water circulating through the filter means you don't have to start from scratch again in spring,and also helps stop the pond from icing over so much.
No it is not too early to start the filter and pump,especially now it has turned milder AT LAST!! i was beginning to think global warming was just a figment of someones imagination!!