This Microsoft article sums up the subject in a very complete manner:
Windows 10, version 1809 and later: Change in default removal policy for external storage media.
Beginning in Windows 10 version 1809, Microsoft changed the default policy
on removable devices from Better performance to Quick removal.
This modes are defined by Microsoft as:
Quick removal. This policy manages storage operations in a manner that keeps the device ready to remove at any time. You can remove the
device without using the Safely Remove Hardware process. However, to
do this, Windows cannot cache disk write operations. This may degrade
Better performance. This policy manages storage operations in a manner that improves system performance. When this policy is in
effect, Windows can cache write operations to the external device.
However, you must use the Safely Remove Hardware process to remove the
external drive. The Safely Remove Hardware process protects the
integrity of data on the device by making sure that all cached
The answer is then :
When the dialog terminates, then the copy is finished as far as the
copying application is concerned, but it is not completed as regarding
Windows. The data may still be partially in memory and in the process
of being flushed to the USB disk or key.
During all these years up to Windows 10 version 1809,
you really needed to safely remove the disk. Although,
even in the Better performance mode, removing the disk after a few minutes with
no disk activity and without doing safely remove, was still safe enough
(I did it often enough without ever losing data).
From Windows 10 version 1809, this is less required, but don't think that
you can remove the disk while it's still making noises or otherwise indicating
that it's busy. Safely remove is still present in the tray bar and is there
to stay, and people like myself will keep on using it, just in case.