As long as you dismount it properly before disconnecting it, you won't have issues. You just won't be able to play the game until it's reconnected. However, I VERY STRONGLY RECOMMEND AGAINST installing and playing Steam games off an external HDD, as both the read/write speed will become an issue, as these drives tend to be slower to save energy and keep them running smoothly, and also there will be major issues with performance from trying to run games over the USB 3.0 Connection. Trust me, it's better to just do the extra little bit of work to try and install another internal HDD in the computer. The only reason Console owners run games off externals HDDs is because it's often the only way they can, and it comes at the cost of a great deal of performance loss.