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There is a chance, particularly when a large file is being saved to the SD card, that you could corrupt the data by removing it while it is still being written to. It won’t physically harm the SD card, but you could have problems when you try to access the data. When you eject it properly, the OS makes sure to write all of the data in the buffer to it before you are OKed to remove it. I think Windows doesn’t use write caching for removable storage to help prevent this from happening, on the assumption that a lot of people will just yank it out without ejecting.