The only risk from disconnecting a condenser microphone while it's powered on is exactly the same risk as you'd have disconnecting a "non-powered" dynamic microphone: If you're amplifying the sound and that mike's level control isn't muted, you could get a loud bang or pop in its channel. This could cost you some output transistors in a power amp, and/or a woofer cone or two. If you're recording, you might get an approximate indication of your preamp's transient response--but damage in that case is extremely unlikely, unless you're driving the P.A. system with that signal.
As far as the microphone itself is concerned, it's no more violent than switching off the powering would be.
To take things one step further, I've noticed that people from Schoeps routinely change capsules during product demonstrations without ever shutting off the microphone powering (be it phantom or otherwise). Apparently this really isn't a problem for them--but I wouldn't assume that this necessarily carries over to any other brands. Normally I would rather disconnect the microphone, change capsules and then reconnect the microphone, all with that microphone's channel fader turned down, of course.
--best regards