How dangerous is it to hot-plug FireWire 400 devices?
The issue is not with M-Audio or with the firewire standard, but with a oxford bridge controller design flaw which makes the controller susceptible to power spikes.  

The flawed chip was in a lot of computers in the late 2000s, which means that it was a good call for m-audio to issue the warning.  It wasn't their own butts they were covering, but it did mean a lot of down time and troubleshooting for their customers.

I learned this the hard way, as the firewire 400 port on my old macbook was fried by hot-swapping the pro-fire 2626.