All the mass storage devices that are on your computer are controlled and buffered by the OS. Buffered access provides faster access, so that is the typical operation mode for mass storage. There are applications for mass storage devices where the devices are accessed unbuffered, but if it has a file system on it and you want decent speed, buffering by the OS is needed. Even if no user process or application is accessing the device, the OS can be carrying on asynchronous buffering operations (read-ahead, writing out large buffered blocks that need to be written because they are "dirty", etc.). So what you are doing is requesting that the OS sync down the device and not access it any more, like it would do for a shut down. If the OS is not accessing the device, and doesn't need to, then the "safe to disconnect" message will appear, and everything is fine. However, if the OS is doing something with the device, then you will not get this message, and yes, if you disconnect it despite that, you are very likely to have the data on the device be damaged, and to not be able to use it after that.
When you restart or shut down your system, the OS will unconditionally sync the device down in preparation for the OS being shut down. Just as it must be sync'ed down when you request removal, the OS must sync it down before the system can shut down, or the same damage may occur, which the OS will act to avoid (by syncing down the device to the point that it can be removed).
So it goes. While I'm not up on the internals of Windows specifically, all OS's must do this with removable read/write mass storage devices to increase operating speed. I believe that you can specify that the access to a removeable disk be unbuffered in Windows, but this will make your access slower, your backups and restores will slow down, etc. since you have to access the physical disk a lot more if you're not buffering in main memory. However, you will have less wait to remove the disk. If you're running full backups, chances are it takes less time to run the whole backup and then shut down the system if and when you have to for removing the disk, as opposed to having the whole backup run slowly. On the other hand, if you're just backing up a few isolated things, or using it as backup storage for music and photos that are accessed sporadically, then you might not care how long these accesses take.