Your OS typically writes the data into your USB when the cache is full. To save time it will collect xbit data and then write them into usb as a whole rather than doing it one by one. Sometimes there are still bits of data left to be aggregated which could be lost when you remove the stick without safe ejection and lose that chunk of data.
Second reason is ownership- an usb can have multiple process being performed on it – copying , reading , writing at the same time . safe ejection will inform you that usb is busy/occupied.
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