FurMark has been known to cause older hardware to fail when the power draw exceeded what it's power delivery circuits could handle. Most modern cards should handle the loading reasonably well, but the onus is on you to ensure nothing exceeds it's limits and goes caput.
FurMark doesn't throttle anything. If something throttles, while it may be a result of running FurMark, it isn't FurMark doing it.
FurMark is a simple way to see what your temp and power usage can get up to, worst case scenario, and is useful as a torture test to verify the stability of an overclock.