This is the ultimate can of worms. Has been done to death over multiple forums and you will never find an conclusive answer for or against.

As Marty explained it would seem that the compressed air passing back through the turbo could cause extra wear. However, you'll only ever read about this and the potential damage it can cause from the people who make and sell DV's.

The other side of the argument is the ammount of people (myself included) that have run turbocharged engines with no dump valves for years without issue. I ran my t3 at 17psi for 40,000 miles over 5 years without a dumpvalve without issue.

Then there is the argument that some cars didnt run them from factory, but then most people modify their cars and are running more boost than the factory so thats a grey area...
Some people say new cars run recircs to prevent damage, but others argue this is to keep various boost related engine noises down for a more refined drive.

Some people say if you have a ceramic turbo you HAVE to run a DV, but many people haven't without issue.
Some say you can run a ballbearing turbo without but not a journal bearing.. again people have and havent without issue.

On top of all of this, it's an engine component, they wear out, sometimes other factors can contribute to them not lasting as long. (cheap oil, not warmed up/cooled down correctly, not serviced etc..) So the results can vary massively from person to person, car to car.

However, it's the sort of thing where if you are worried about it, running a dump valve will not do any damage so it's a safe bet. I personally run a recirc valve on my new zetec turbo, but mainly because as cool as chatter is, it can get very annoying if you do alot of driving.