Floydy, you are right, it's not recommended. But mainly for the sake of the integrity of data on the disk, it would be very unlikely this would physically damage any hardware inside the computer. Modern hard drives are less susceptible to head crashes nowadays, and NTFS is actually a pretty robust filesystem and rarely gets trashed of its own accord!
To be honest, I'd say it's a safe bet that there are countless computers in the world that get switched off every single day, several times a day, in this way.
I have personally witnessed too many people clicking Shut Down, then turning off the power immediately without waiting for the computer to switch itself off!
But no, it's not the recommended course of action especially if you simply happen to bump into a popup window you don't like!!