Someone told you wrong. In 25 years of PC building, I have never experienced, seen or heard of a card damaged by Afterburner.
After Burner has two major functions:
Monitoring
Overclocking
The simple fact is this... CPUs / GPUs / RAM, etc are silicon based products made from "wafers", not all meet minimum performance requirements, The manufacturer sets a stated performance goal and all that pass this level are sold ... ones that don't will perhaps be repurposed to a lower tier product or sent to the recycle been. The ones that do will range from just exceeding that set standard to exceeding it substantially.
Fro a sales / profit standpoint, that set goal is what the manyfacturer has to guarantee ... a small number may not be able to meet that goal and will be returned. Others will exceed that goal by a wide margin ... this is oft referred to as the "silicon lottery".
So if we say that that performance goal is the base line, some GPUs will exceed that by 5, 10, 15 maybe even 30+ %. nVidia cards generally have a rather high OC headroom 15 - 30% ... AMD foir the most part, since the 2xx series, has mostly remained in single digits.
The MSI gaming X design is one of the more robust ... in fact techpowerup reported
https://www.techpowerup.com/reviews/MSI/RX_480_Gaming_X/28.html
the MSI RX 480 Gaming X performs in every single test in this review. In my opinion, this is thus far the only RX 480 that looks like it can compete with the GTX 1060 and its custom designs.
While a 1060 would likely OC 15 - 18%, the 480 will be limited to 6 - 9%.
Overclocking does result in increased temps but as you can see here, it's not an issue on the MSI design