Nowadays most likely nothing will happen, worst case is you break your safe file.
Imagine you‘re drawing an image and suddenly stop in the middle, go to sleep and get back to it the next day. Because you couldn‘t finish it you now can‘t recognize what you were trying to do, so the whole thing is useless. That‘s basically how a file can become corrupted.
Alternatively instead of not doing anything the software might do something totally unexpected that causes even more problems. Nowadays there are safeguards in the code for this kind of stuff. Things that used to be unexpected are known now and the software can handle it.
But of course, since things are really complex by now there‘s still a chance of something happening that wasn‘t accounted for, so to be on the safe side you tell a software to stop, let it finish what it‘s doing and then take the cartridge out (or shut your pc down, forcibly close the software, etc)
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