By definition, the USB specification allows for hot swapping / plugging. I've personally never ran into a problem on any computer or device since USB 1.0 was officially released in 1996.
Manufacturers who may post warnings against such, are probably trying to eliminate any possibility of data corruption to hard drives or memory modules that are being actively written to while being unplugged. Depending on the OS and firmware, this could be sometime after the command was executed due to delayed cache writing.
That's the only reason Windows PCs have a USB device eject function in the system tray / notification area of the taskbar.
Steve