Why I saw the message Don't unplug until it finished

the progress bar shows the work of application in charge of copy paste, the Applications's job is to Read the file(s) and tell OS to write them to destination , however if the Read Speed is faster than Write speed (in your case speed of External hard drive is slower than internal one) there is a chance that slower device falls behind. in that case what should be written in it goes to a queue. the warning you saw just says this Queue (IO operations that needs to be done) is not empty.

the same thing is there in Windows too , thats why you have to safely Remove Removable drives before detaching them. so some file won't be half written (and get unusable/corrupt later on due to this)

Related: https://askubuntu.com/a/558207/148011