Many new machines of today should be threaded with the needle bar up so the tension discs are open for the thread to get aligned in the tension. Yes, you can damage your machine because when trying to sew without the thread in the tensions you cause the bobbin thread to be pulled so hard that the bobbin gets dislodged and causes needle breakage and bad gouges on your bobbin case which in turn causes more problems when trying to get good quality stitches. If the needle breaks with enough pressure on the needle bar, you can throw the machine out of time. Machines of today are not like the machines of yesteryear. They do many more things than just straight and zig-zag stitching, so have to be so precise to do each task. Also always try to pull your thread out from the needle when changing threads so you don't pull lint up into your tensions. Just a trick to keep the tensions clean.
Good Luck
Suzy