I don't think the answer is straight-forward, but I do think that there was some degree of "yes" buried in there.
For starters, it would depend on the video card that you were using. There were a number of manufacturers and not all VGA cards were created the same. Likewise, there were a number of CRT display manufacturers that were also not created the same.
The only potential for damage with video cards I've ever been aware of is based on driving a signal frequency that was out of spec, and that - as above - depends.
Standard VGA had a 31kHz output frequency, earlier display standards (such as Amiga, Apple, Atari) had a ~15kHz one, and later resolutions and standards increased this beyond the 31kHz; this is why we eventually had MultiSync monitors as an option. However, not all monitors were able to handle frequencies outside of what they were designed for. For example, I remember one CRT struggling to try and make sense of a higher frequency than it was rated for, and it ended up making strange whining noises while doing so. Of course, it also couldn't display the signal it couldn't understand, so a power-off or reboot followed quickly.
So what I imagine the warning was alluding to is the idea that you could tell some VGA cards to drive a non-standard signal frequency. Maybe some chipsets didn't care what value you provided them with (200kHz? Sure!) and supporting components possibly presumed that out-of-spec frequencies wouldn't happen. Of course, once you tie a video card and a display together that don't have protection from this kind of situation, things can happen that may damage either the video card or the display.
I can't say that I've ever seen something like this happen other than my experience above, though I'm sure if I let that whine continue long enough something would have burned out or failed.
Beware! putting wrong values into them could damage your video card!
is standard lawyer/disclaimer language - no matter whether true or not; they could have thought that including it in the book might save the author from court claims if in a country where suing is popular...