Yes, you should always unplug your treadmill after each use. Ideally, a good power surge strip should be able to shield the electronics in your treadmill from fluctuations in voltage the same way it would with your TV or computer.
However, the power needs of your treadmill may greatly vary when it is in use. This is dependent on the speed and size of the user as well as the treadmill model, make and age. This may lead to the trip and cut off the power being supplied to the treadmill when using it. It is therefore ideal that instead of depending on a power surge protector that you unplug it when it is not in use.