is there any problem with unplugging it?
depends on the device you're unplugging ?
Is there any other meaningful way?
If there are writes on a hard disk, it would be best to
A simple device with plain OpenWrt without any disk-intensive add-on packages can be just unplugged, as by default OpenWrt writes nothing to the disk during normal router operations. (Everything gets written just to the ramdisk)
But if you have disk shares, torrenting, or any other similar disk related packages, you should first stop the services using them.
(Many/most mobile/embedded processors do not even support a real shutdown. Shutdown or halt actions may just reboot the device.)
Ps. See discussion in [Solved] Would it be possible to add a Shutdown link in System menu