. . .Nope, it doesn't do anything bad, I assure you, lol. . .)
I wouldn't expect it to, most of the time. Most modern systems protect themselves from unexpected shutdowns, partly by writing new files before erasing the old ones. Still, these protections fail from time to time.
The question is, even if the risk is small, what benefit to you obtain by doing it. What will pulling the battery while powered on do to help as opposed to the safer practice of pulling it after shutdown?
If this really does trigger some sort of repair or reset of the phone's software it makes sense. Otherwise it is a bad practice even if you can get away with it 99.9999% of the time.
Understand I come to this from the viewpoint of a long time (even old time) technician. Experience says don't do crap to equipment without knowing why you are doing it. So, I want to know why pulling the battery with power on is a good/better idea than pulling it after power is off.