Agree totally that you should ... not so sure about why though
the reason not to switch off is primarily because of the way windows works (never had this palaver in dos ... just pull the plug)
windows uses temp files to do just about everything .... it also hangs on to data 'till it sees a lull in what you are doing
and then writes it to disc.
when you shut down ... all the whizzing and banging that goes on is windows tidying up after itself
so three problems
1 you stand a chance of loosing your most recent work
2 you will certainly leave all the cr@p behind (look in the temp folder)
2 If the disk is updating the File database (FAT or MFT) when power goes off there is a chance (slim but real) that you'll loose the whole drive
the only physical threat of damage I can see is the possibility of a power spike (pretty slip on a lappy) taking out the mobo