TL;DR - Nothing you should worry about.
Long answer:
The risks involved in a disconnection from the USB port during debugging are exactly the same as what the device is subject to during everyday use.
In some old USB implementations it was possible to remove a device while the host is still supplying power to the device. Today this is very rare.
The main problem with removal without ejection is the fact that some operating systems cache in memory files being manipulated on removable media. As in practice you are not manipulating files (ADB takes care of 'serialize' and send your Apks using its own protocol), this risk is non-existent.
On the device side, the operating environment ensures that your new APK package will only be installed if the transfer is successful.
Very good, withdrew my doubt, no shadow for questions. Thank you!
– paccamicio