This is the recommendation on every grinder's instruction manual. There is the possibility of warping the burr carrier if
- You tighten the grind without running the motor
- while there are bean fragments in the burrs
However, I have never heard of a case of damaged burrs from doing this. But remember, my "heard of" is a few hundred hobbyists and third wavers, while the manufacturer's "heard of" is thousands of people who hate their jobs and would like nothing better than to get some paid time off while the shop's broken grinders are being fixed. In terms of risk groups, the two don't really compare.