This is NOT a "Utility Hazard", that is completely nonsense. It has NOTHING to do with Rockbox Utility.
This is simply how computers work: all modern Operating Systems do write caching (not only Windows and Linux as already mentioned but also Mac OS X). You should NEVER remove a drive without "safely remove"ing it first -- CD drives have a button you press so the OS knows you're going to remove it. USB drives don't, so you need to tell the system somehow about it (like by using the icon in the systray on Windows).
This was a lesson painfully learned. I wonder if there's a way to save others from experiencing this problem.
Sure: by not allowing people to use a computer that lack basic knowledge about how it works. You wouldn't be surprised to cut yourself with a razor if you use it improperly, wouldn't you? And it wouldn't be a hazard with the shaving foam, would it?
And speaking about programs again, there is no (simple) way for a program to tell if a file is actually written to disk or still in the OS cache -- a program shouldn't care about that, so there's not much a normal application can do about this. And Rockbox Utility doesn't tell to immediately remove the drive for several reasons (you might want to install other stuff or copy music anyway ...)