As long as you use the "Safely Remove Hardware" control first, you're fine. Personally I haven't found many uses for hot-swapable SATA drives, since the drives I have pretty much stay put all the time.
As with any hot-swapable device, as long as it has been "detached" by the OS, all you're doing power-wise is unplugging it. If the drive is still crunching away, then it hasn't fully disconnected.