By "plug and play" -- do you mean "hot swappable"? (they are different things.)
Technically, nothing horrible will happen if you accidentally unplug an ADB device and plug it back in while the machine is running, all ideal circumstances considered, but it is not hot-pluggable and Apple's user manuals are always quick to caution that you should turn your machine off if you plan on re-configuring the ADB devices.
It's not wildly common (aka "it won't happen every single time") but hot-plugging ADB devices can damage the ADB controller on the Mac's motherboard, as well as chips on the ADB devices.