It's called hot swapping and there is no danger to the hardware as long as you follow the rules, which is to dismount the drive before removing it basically the same thing you are supposed to do with usb flash drives.
Removing a drive while the drive itself is being used and is written to will result in all kinds of issues.
this forum is full of "never happened to me" threads trying to fix the problems caused by bad habits.
"works every time but once" is the mantra to repeat to yourself rather than "never happened to me yet"
the reason you eject the usb drive before pulling it out is to ensure the drive is not being written to or being read at that moment. if you happen to take it out at that time, you can lose data or even kill the drive completely. you've gotten lucky and nothing was being done with the drive at the time you took it out. not so much an issue now but in the past windows would actually use a nice fast usb drive as memory cache. so it was possible for it to be in use even though you did not technically tell it to do anything. that was when they added that eject button for the drive to stop that caching before it was removed to prevent any of the problems.
ram is fast enough now that this is largely forgotten but it still exists and is still a concern on many systems.
this same thing goes for a hard drive, even an ssd. if it is being written or read from when it loses power, this can corrupt cells, lose data, corrupt data or possibly kill the drive if the controller is tweaked just the right way while working.
hot swapping technology is not the same as simply removing an internal drive all of a sudden. a hot swap bay knows all the risks and "ejects" the drive before removal and other safe guards. however, a crappy hot swap bay will kill drives in a hurry and often. one of the cases i use came with 2 hot swap bays but the controller card sucked and it was well known to kill drives regularly. i never used it and removed it out of the box cause i knew it was not worth the risk.