It depends on your controller. I have a Gigabyte P965-DS3 motherboard. I don't remember which is which, orange or purple - I'll just assume one, so this is NOT accurate:
On the orange SATA connectors, my removable SATA drive doesn't show on the Safely Remove Hardware list.
On the purple connectors, it does show up.
It's my understanding that SATA is electrically OK for hot swap. The other issue is the write cache - if the write cache isn't disabled (either permanently in the drive's Properties window, or via Safely Remove Hardware), you could risk data loss. This will happen if the drive is powered down while something is still in the write cache. The other risk is data corruption - if some information concerning the MFT (master file table) or perhaps partition information is in the write cache when the drive loses power, then you'll be asking about data recovery software.
So, for the drive to appear in Safely Remove Hardware, it depends on your controller.