No it doesn't - You have to eject the drive from the taskbar, and its more complicated in Windows (3/4 button presses as opposed to one)
Sorry to be contrary, but.. it does
XP can be set to optimise write caching for removable devices. In fact, by default, write caching to thumb drives is disabled by default, so you can in fact yank a flash drive once you're done with it on XP. Just follow the reasonable precaution of making sure you've not got anything open on the drive. Anyway, having write-caching disabled means you're never going to leave the drive's filesystem in an irregular state unless you pull it mid-save.
Would it be nice if OS X did that? Sure... but I'm not about to bleat about it. It's just how the thing works. It's a different situation with OS X anyway, since spotlight might be poking away at the disk.
Oh, and 10.4.10 has no probs on my G4 Mac Mini, Core Duo MBP or Core Duo MB.
[edit: bah! I type too slow! As for why have the eject button... well, because, frankly, it's every Windows function and application's duty to stuff as much as possible into the system tray, of course! I kid, I kid... Nah. Really, it's there because some devices it will use write caching (hard disks, iPods f'rex) but others it won't. Of course, the system gives the user no indication as to which is which -- and that's why most people dutifully use the eject feature even when it's not strictly needed. So it's one of those nifty features marred by crappy implementation. Meh]