Many times we just unplug our pen drive without safely remove and sometimes Pendrive loses its data. But what happened to your computer when you direct power off your computer or laptop without a proper shutdown.
Microsoft has included the shutdown features because it enables a computer to go through all the necessary process that is required to turn off the computer properly. In fact, many version of Windows will check the computer for any problems if the computer is not shut down properly.
The other thing it can do is corrupt your files that means you can lose your data and sometimes it also corrupt your system files which mean your operating system can also be corrupted as well.
So don't be lazy and always try to shut down your computer in the proper way or you can also alternately put your computer to sleep or hibernate.