There is some resistance to it, but it can be rotated without excessive force. When would this cause damage?
No, it won't cause any damage, at least in non-pathological cases where you're not exceeding some shaft or drive train mechanical limits and are applying a torque directly to the stepper shaft.
A similar thing happens when you try to accelerate too fast and the motor loses steps. Nasty sound but not really a problem for the motor. The coil current is set by the driver in typical chopper drivers (or by a series resistor or just the power supply voltage and coil resistance) and will remain constant or drop a bit.
Some drivers reduce the coil current to a fraction of the maximum driving current when the motor position is static (to reduce heating), and those will be even easier to turn.
The current in Stepper motors is constant when static and is defined by the DC resistance. I=V/DCR.
The motor will generate voltage according to the velocity you turn it at so the current may rise and fall with velocity but not much as the BEMF is not likely to approach the Vdc EMF applied to each phase coil. When powered off turning the stepper can create a DC voltage enough to power the cooling fan if it exists from BEMF. (but I didn't say that is ok for every design.)
Thus you cannot change the power dissipation much in the driver or motor in a static mode by moving a static stepper motor.