yes, in my opinion, I am sad to say it's possible to make damage to your hardware, about MAC power control of CPU and Videocard.
But it's only happen when you have done some edit yourself that not admitted. it's also fare away from one just Download-Install.
you know, MAC on thinkpad means to simulate the real MAC hardware, and there're many solution had published on the Internet, but there're also many unsolved problems with different hardware, some people like to solve problems themselves , then they(including me) will face danger, in a word OVERCLOCK.
so ,you can just follow pioneers, and not edit those things Unknow, it's safe.
to back to windows, only thing you should be cared for is those files in you disk......
sorry for my poor English