If you have a very old OS (i.e., DOS), when your program asks the OS to save some data, the OS stops your program until it’s done saving the data.
Newer, more technologically sophisticated OS’s temporarily “sort-of-save” or “cache” the data in memory because it allows the program to be quickly un-blocked. This is very fast, but memory needs power to keep its data. So it’s only “sort-of-saved” and only becomes “properly permanently saved” when it gets to the disk, which takes a very long time.
If you abruptly cut power to the system or the disk, the “sort-of-saved” data might not get permanently saved. Worse, it might only be “partly saved”. When you try to read “partly saved” stuff later, you have bad problems: A program might not understand a “partly saved” file, or worse, the OS itself might not understand a “partly saved” filesystem (the OS bookkeeping that tells it what files are called, what folder they are in, and where their data is located).
Selecting “Eject” warns the OS that you are about to remove the drive, and it should permanently save everything. You shouldn’t take out the disk until the OS reports that you can safely do so (i.e. it’s finished saving everything that some program has requested to be permanently saved, fully updated its own bookkeeping, and started telling any program that wants to write more data “Sorry, that disk is no longer available”).
Of course it’s physically possible for you to remove a drive without ejecting it in the OS and waiting for the “all clear.” If you do this, any data you put on the disk within the last few minutes is at great risk. And all the data that’s on the disk is at medium risk. Sometimes it will come out OK, there is less risk if you’re writing small files (e.g. spreadsheets, documents, a few photos) and not large ones (videos, backups, large photo albums).
There’s always some risk if you don’t use the Eject button and then wait for the OS to tell you it’s OK to remove the disk, so everybody should do that.
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