You got it right: using such a cable can overload USB power supplies and damage the hardware in some circumstances. This is why Y-cables are explicitly forbidden by the spec:
Use of a 'Y' cable (a cable with two A-plugs) is prohibited on any USB peripheral. If a USB peripheral requires more power than allowed by the USB specification to which it is designed, then it must be self-powered.
It's true that such damage is unlikely to happen in practice, but if it does happen, you will not be covered by warranty. E.g. I used to have a laptop which kept one USB port powered while hibernated, to let the user charge their phone or whatnot without having to start the laptop. With such a cable, you would risk to damage the USB ports if you forget to unplug the cable before hibernating.
The problem is remedied by refraining from using non-compliant hardware. If you bought this cable, return it to the seller for a refund. If the seller refuses, try to get chargeback on the grounds that you've been sold non-compliant hardware. There are plenty of external HDDs which either can work from a single USB port or have an external power supply, so there's no need for such a cable if you use those.