The reason you get this is pulling the card or cable while data is being exchanged.
Even after the files have been copied, other stuff is going on behind scenes constantly with any attached device.
The correct way is to right click and eject the drive, then disconnect it when Windows is done communicating.
Despite the ominous warning nothing bad should happen if you just pull it anyway, especially if you format before recording again.
in other situations such as transferring important files or firmware updates it's safest to eject properly