Booglebox.
I don't know whether your statement is correct.
I would suggest that if you unplug the hard drive, with the operating system on, whilst the computer is in use it would indeed cause a blue screen.
This may be due to the sudden lack of an operating system rather than the act of unplugging the drive.
When I have a few idle moments, I will see what happens if you unplug a sata drive without the operating system on - similar to unplugging an external sata drive.
I think you may damage a pata drive doing the same but again I don't know.