Hi WTFk welcome to SevenForums,
By default, External Devices are set for Quick Removal, as you have already found out. This means that they do not have to be "Safely Removed" as Windows knows that you could remove them at any time, and as such, only reads and writes when it has to. In essence, the only time it is NOT ok to remove it, is while a File transfer is taking place, or while you are accessing something on it.
By contrast, Internal Devices (i.e Sata HDD's) DO need to be safely removed, if you are planning to hotswap them. (Meaning the process of unplugging while the machine is still on) In truth though, this doesn't have that many practical applications.
Hope it Helps