You shouldn't damage anything, but certain devices that you plug into it may require that you use the external power supply. Sometimes the only warning you will get is that one or more of the devices won't work properly.
If you go into the Control Panel System menu and take a look at the Hardware, you'll see a device like "General Purpose USB Hub". Opening up its properties and looking at the Power tab will give you some information about what it is capable of supplying and what each device is using.