Most likely no one will fry their whole computer. The unplugging the hard drive whiles it is active can damage the USB port because the static electricity is being generated between you, the computer, the drive port and the USB cable. Since the hard drive is connected and powered to some level of grounding, for a stray static charge it becomes an attractive path.
Latent failures can be caused due to ESD damage to your USB drives or ports, that intern cause slow down of data transmission following static shock. Due to severely damage the port or device would essentially fry it and cause it not to work at all. Overall lifespan can be shortened also. ESD can occur under circumstances such as flipping a nearby switch, plugging and unplugging.
Be comforted before you alarmingly back away from your computer by the fact that the average computer user will not necessarily have to worry about it happening. However, in situation where ESD may occur, it is very important to know about it. Once you add USB hard drives, computer system upgrades, graphics cards and other heavy duty peripherals, then the odds of static shock will increase.
USB ports need of protection against static shock because they are hot pluggable. The data transfer rate is up to 480Mbps and USB 3.0 at 5Gbps with USB 2.0, to interruptions in the signals these speeds are fast enough. ESD up to 2kV is protected by many USB hubs, but this is not always enough.
Gyroscopic inertia is another risk that stems from the hard drive itself, and while disconnecting it will be spinning. The manuals details are not warning you of a common risk as such and they are limiting the hard drive manufacturer’s liability. You will end up complaining to the manufacturer when your data is lost or the hard drive dies and there will no proper response from them.
The USB devices can be hot-plugged into the system means the USB connection is hot-pluggable, but the different issue is how the devices react beyond that basic connection. The meaning of the a device being hot-pluggable simply is, without having to completely power down the device can be connected to the main system to use a device probe or to connect it like those SCSI probe control panels.