Do i need to stop the LCPDFR first?

or

Just exit the GTA IV anyway when playing LCPDFR?

Which one is better please?

As long as you do not save while on duty, you can exit either of those ways. 

As long as you do not save while on duty, you can exit either of those ways.

How about on duty? Can i exit GTA IV

As I said, you can exit GTA IV when on duty when playing LCPDFR. Just don't save while on duty. Exit is fine. 

If you exit the game while LCPDFR runns you will lose youre data (money etc....) that you have been collected during playing lcpdfr

If you exit the game while LCPDFR runns you will lose youre data (money etc....) that you have been collected during playing lcpdfr

True, this is because you're not saving. If you deactivate the LCPDFR script and then save, all pickups will be saved (Weapons are reset when going on duty). 

True, this is because you're not saving. If you deactivate the LCPDFR script and then save, all pickups will be saved (Weapons are reset when going on duty). 

 

True also you can stop all scripts by typing this into console ::::: (reloadscripts)