If your computer says that you should properly eject the flashdrive then I assure you, it's most definitely for good reason.
The whole idea behind telling you to safely eject the usbd drive is to prevent your data from being corrupted. Although this will only happen if some data is cached.
If some information is cached on the computers RAM and it hasn't been written on the usb or is being written on the USB when it is pulled out of the computer will inevitably result in the USB drive getting corrupted. Once the USB is corrupted, you're going to need to format it before it can be used again.
Application's can be installed on USB drives and if you run an application from the USB drive and then remove it from the system abruptly, the application will stop immediately and until you insert the usb back, you will not be able to re-run the game.
I hope this helps