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USB supposed to be "hot-swap"
The "safely eject your device" is there to let the OS know you want to remove it so it writes all the data it needs to and closes any links to open files and dies a tidy up.
Operating systems tend not to write everything to as disk or USB device when you write data to the device.
They hold back from between a few milliseconds to a few mins before writing the data to the device.
Technically it's to keep down the overhead of constantly reading and writing to a slow device (To your OS; doing many small read/writes to a USB is a lot slower than saving up all the changes and doing them in bulk)
To be safe always right click on the Kindle entry in "My Computer" in Windows and select "Eject".
there's also an icon in the taskbar you can left click on to unmount the device
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