My experience with bicycle disc brakes is minimal, but with solid rotor discs on cars or motorcycles, I have seen warping and cracking when they get too worn. As a bicycle disc is thinner and smaller, I would suspect the same would be possible.

To me, the brakes are that one piece of equipment that is frequently a very important factor in whether you are injured of killed if they do not work as intended. I make sure I know what the wear limits are and what the signs of needing to be serviced or replaced are for the brakes on my bicycles and my vehicles. I do not wait for them to fail or wear to the point of damaging the rotors (or rim). It is not a difficult measurement to take, especially since on a bicycle it is out in the clear and not behind a wheel. Being knowledgeable helps you know when to replace the pads or rotors, AND then to do it yourself or take it to the shop before it gets real expensive. It can also prevents surprises at the shop.