The Wally is the successor to the ViP211. Back when I had a 211, it was always best to shut down (unplug) the receiver, then shut down the drive to avoid corrupting the drive. My experience with unplugging the 211's hard drive hot was a corrupted drive several times.
This may not be applicable to the Wally with the newer OS but that's my 2 cents worth.
I tend to think that unplugging a receiver could be like unplugging a running computer, that is, pulling power without a proper shutdown. How about going into the diagnostics menu and telling the Wally to restart, which then presumably does some reasonable "shutdown", then when it's clear that the Wally is restarting, pull the EHD. But I don't know. Dish Support can no doubt clear it up.
So that is what that option is for. I have seen that in the menu on my ViP211k, but never on a Wally. My process is always to unplug the hard drive power cord first. At that point, the receiver will pop-up a prompt on-screen, saying that a USB storage device has been removed, and asking you to restart the receiver. I select the option in the pop-up to restart, and unhook the USB cable. Then, I take the EHD to the other room and hook the USB cable to the other receiver. Next, I plug in the power cord on the hard drive. That receiver will then recognize that a hard drive has been attached, and pop-up a prompt saying to restart the receiver. Go ahead and restart that receiver, and everything works after that.