It's just the sound of the pressurised air having nowehere to go due to the closed throttle butterfly and being forced back through the turbo blades.
Some people will rave on about how they save the turbo and are the answer to world peace etc. End of the day as far as Cossie's and RST's go unless you are running 30psi + of boost or are running a turbo of T4 or bigger (or have a small turbo Escort Cossie). you won't do it any harm.
I'm yet to speak to anybody that's had turbo failure as the result of not having a dumper