Generally it is recommended by experts to eject devices from system tray before pulling them out of a PC. It isn't really a necessity. This is done primarily to prevent data loss. If you pull out removable drives / pen drives without ejecting, they may face data loss.
You may have to format the drive to use it again. I have faced this situation myself once. Fortunately, I had a backup of the drive's data in my computer. In the worst case, the drive may stop working. But that is rare.
If you have a program open in the removable device, it will force stop if you pull it out. This is not healthy for your computer. These are the reasons why you should always eject devices before you pull them out of the computer.
Short Answer would be to avoid any data file corruption.
The moment you insert say a USB stick into a computer, there are processes happening in the background. Processes like Initializing the USB stick, getting ready for the data in that device to be read and one process feature we call "write caching".
"Write caching is a feature that improves system performance by using fast volatile memory (RAM) to collect write commands sent to data storage devices and cache them until the slower storage device (ex: hard disk) can be written to later. "
The problem with this feature is that since it uses the RAM to cache the data from the storage device, the moment it is interrupted during the time you are copying some file (whether by a power or system failure), the data stored in the RAM 'maybe' flushed out causing some potential data loss. The greater the data loss the higher the chance the system won't be able to fix/repair it making it totally unreadable.
The simple act of pressing that "eject button" tells your OS to flush those cache while making sure that all processes and pending actions have been already performed. Thus the possibility of data corruption is at most 0%.
If your computer says that you should properly eject the flashdrive then I assure you, it's most definitely for good reason.
The whole idea behind telling you to safely eject the usbd drive is to prevent your data from being corrupted. Although this will only happen if some data is cached.
If some information is cached on the computers RAM and it hasn't been written on the usb or is being written on the USB when it is pulled out of the computer will inevitably result in the USB drive getting corrupted. Once the USB is corrupted, you're going to need to format it before it can be used again.
Application's can be installed on USB drives and if you run an application from the USB drive and then remove it from the system abruptly, the application will stop immediately and until you insert the usb back, you will not be able to re-run the game.
I hope this helps
By following the recommendation to safely eject the device you allow the computer to close down any open files or processes connected to the device before it is disconnected.
This prevents corruption of the data and ensures that whatever you placed on the external device is able to be read the next time you plug it in
You must follow the process and that is clicking on eject and wait for it to say safe to remove. If you don't do that you could lose data stored on your device. Not only is it not good for your computer or the device. Formatting may be required but I haven't experienced that yet.
I've foolishy thought plug and play meant I could pull my UBS out whenever I wanted and this one time, at graphics art camp, I lost days of work on a project the night before submission because I.am.stoopid and pulled it out.