EDIT: woops sorry, I was thinking jacks on the front, not the power jack on the back. You can ignore most of this post. Inrush current is the cause (just like other people say), a series resistor (might not even have to be an NTC type) would be enough to prevent the problem; or they could micro-manage the voltage delivery with a microcontroller if they really wanted to spend more money. Regardless the sparking should be harmless as long as you don't intentionally try to make a bad connection; I wouldn't worry about wanting this feature.
I see a video in youtube that the so call spark is more like spark-flying-all-over-the-place-that-can-burn-your-finger kinda spark.
You will not have massive sparks and burn your finger unless your building wiring or power supplies are already dangerously faulty.
You may see sparks when inserting/removing TRS jacks because of their "short everything on insertion" design, but all devices are designed to handle this. It's unavoidable with this connector style.
You can and will see tiny sparks when connecting devices powered by isolated switchmode power supplies (I first noticed this on DVD players). They leak a little bit of high-frequency AC through class-Y capacitors. This is designed to be a harmless amount of electricity.
I am wondering what kind of "Protection Circuit" Fosi put in the amp to prevent it to spark or what make it spark in the first place.
Resistors on the inputs make the most sense. Cheap, easy, effective.