Puts more stress on the mechbox shell. When there's a BB in the chamber it provides back pressure on the piston, reducing impact force.
Breaking the front of the mechbox shell due to dry firing was a far more common issue back when everyone had a weaker mechbox shell. Still not a good idea, but it's not nearly as dangerous as it was 6 years ago.
NiMH, doesn't really matter. They'll just roll to a stop and aren't capable of outputting enough amperage to damage your motor at low voltage.
If the NiMH is right dead, and you keep drawing current till it's right empty, it can actually reverse polarity on you.
LiPo's that are approaching 3.0v/cell can be damaged by going under that voltage.
And once a LiPo reaches critical low voltage (where your gun starts to slow down) the motor starts drawing more amperage, which can damage electronics or the motor windings. This is especially dangerous in systema PTWs.