Rear derailleur max capacity exceeded?
A common observation is that Shimano sets conservative limits to capacities of its derailleur products. Many people, including myself, run bigger than allowed cassettes with no problems. Additionally, there are aftermarket adapters available that are designed to help exceed the nominal capacity of certain road and MTB derailleurs.

Is that a common thing that bike manufacturers ignore the max capacities of rear derailleurs?

I do not know how common this can be. In any case it is the bike manufacturer's liability to provide a whole package (the bike) that is safe. They ought to test all chosen parts to work nice together, or else face frequent recalls.

What are the potential (good or bad) effects of exceeding the max capacity?

In the worst case, a too stretched (or too compressed) derailleur may start touching other components it is not supposed to touch, which will lead to its destruction. In a better scenario it has its internal components subject to increased mechanical stresses, resulting in increased wear. Finally, the thing may simply refuse to shift to the cog that is outside its range at all, or would take a long time to shift.
Good effect: you can have a wider gearing range on your bike without having to buy a new derailleur.

If I increase again that capacity to 45t by mounting a 44t chainring (which can have a chainguard) instead of the original 42t chainring, do I risk breaking anything?

It really depends on how tight your derailleur is now at its extremes, and how you ride it. If you do not intend to ride with badly cross-chained combination 44 front - 36 back, your derailleur will never &quot;know&quot; that you've gotten a bigger front chainring.
Do not forget to get a longer (+2 halflinks) chain.