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"The safely remove hardware" is really the only way to remove the USB stick safely.
The problem is that when you copy things to the USB it will actually 'cache' things in memory first to speed up this action and the copy to the actually usb stick will happen in the background without you noticeing. In other words, it MAY seem like the copy has occured but in reality it has not. When you shut down your computer OR when you press "safely remove hardware" the data will be flushed out of memory towards the USB. If you leave your USB stick in long enough you will never have a problem either because the data is flushed out slowly but surely.
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