"hot-plug" support of anything, including USB doesn't mean it is always in a good state to be unplugged. Generally warnings exist on devices to not hot plug until ready is to ensure any unwritten data in a cache has a chance to be flushed and written.

I've worked with servers that had hot-plug RAM, and you had to really be sure it was in a good state to have a module pulled, otherwise the entire server would come crashing down.

As for your specific case, I'm guessing even though the iPod was only attached to charge, Windows still mounted the hard disk, and caused the iPod to throw up the do not disconnect warning.