I've never unplugged any of my appliances during a thunderstorm and they've been just fine.
You could unplug it but you might forget to plug your refrigerator back in and then the food would spoil.
I would just unplug other electronics such as computer, internet modem, wifi router, television etc during a thunderstorm.
All the other major appliances should be just fine left plugged in during a thunderstorm.