If you tighten a QR too hard you risk crushing the bearings, esp if the hub has been improperly assembled. On a QR hub, the bearings should be loose, but many mechs and assembliers tighten, like you should with a non-qr. Still, unless you tighten it to the absolute max, you prolly won't do damage.
A good guide is that when closing the QR, the pressure should become noticable at half-closed.