@Majenko already answered the Question
Here is some added info
Windows itself tells you that you don’t need to use the Safely Remove Hardware option if you use certain settings – the default settings.
Quick Removal vs. Better Performance
Windows allows you to optimize your USB device for quick removal or
improved performance. By default, Windows optimizes USB devices for
quick removal. You can access this setting from the device manager –
open the Start menu, type Device Manager, and press Enter to launch
it.
Expand the Disk drives section in the Device Manager, right-click your
device, and select Properties.
Select the Policies tab in the Properties window. You’ll notice that
Windows says you can disconnect your USB device safely without using
the Safely Remove Hardware notification icon, so this means you can
unplug your USB device without ever safely removing it, right? Not so
fast.
Data Corruption Danger
The Windows dialog shown above is misleading. If you unplug your USB
device while data is being written to it – for example, while you’re
moving files to it or while you’re saving a file to it – this can
result in data corruption. No matter which option you use, you should
ensure that your USB device isn’t in-use before unplugging it – some
USB sticks may have lights on them that blink while they’re being
used.
However, even if the USB device doesn’t appear to be in-use, it may
still be in-use. A program in the background may be writing to the
drive – so data corruption could result if you unplugged the drive. If
your USB stick doesn’t appear to be in-use, you can probably unplug it
without any data corruption occurring – however, to be safe, it’s
still a good idea to use the Safely Remove Hardware option. When you
eject a device, Windows will tell you when it’s safe to remove –
ensuring all programs are done with it. Write Caching
If you select the Better Performance option, Windows will cache data
instead of writing it to the USB device immediately. This will improve
your device’s performance – however, data corruption is much more
likely to occur if you unplug the USB device without using the Safely
Remove Hardware option. If caching is enabled, Windows won’t write the
data to your USB device immediately – even if the data appears to have
been written to the device and all file progress dialogs are closed,
the data may just be cached on your system.
EJECT
When you eject a device, Windows will flush the write cache to the
disk, ensuring all necessary changes are made before notifying you
when it’s safe to remove the drive. Ultimately, no matter which option
you use, you should use the Safely Remove Hardware icon and eject your
device before unplugging it. You can also right-click it in the
Computer window and select Eject. Windows will tell you when it’s safe
to remove the device, eliminating any changes of data corruption.*
Note This advice doesn’t just apply to Windows – if you’re using Linux, you should use the Eject option in your file manager before unplugging a USB device, too. The same goes for Mac OS X
3I assume part of the intention is to do with the difference between read only media (which can be safely ejected at any time, and left in a coherent state). Versus read/write media like a USB disc, which might still have pending writes and where immediate removal can leave the media in an inconsistent state. – cbz – 2011-03-08T11:18:15.687
2
However, my Kindle(which connects over USB) shows distinct behavior when using the two options.
Can you explain the difference? – Belmin Fernandez – 2011-03-11T14:10:14.573After ejecting a Kindle, you can use it normally(i.e. read books). But after safely removing it shows the same screen as it did before (i.e. it shows a screen roughly saying
the kindle must be ejected before it can be used
). – apoorv020 – 2011-03-11T18:04:10.330@apoorv020 You should include that part in the question itself.. – Pacerier – 2012-07-05T13:18:03.103
There is a glitch of sorts in some versions of Windows in that if you "eject" a USB device it "ejects" the entire USB controller, and it cannot be used again until you reboot. – Daniel R Hicks – 2013-09-18T15:54:29.033