When turbos (non roller bearing) go, it's normally the bearing that fails and the turbines remain intact, unless a foreign object has gone through it (always use an air filter) It has been known for the shaft to shear, but that isn't too common. They don't often let go without any warning so hopefully you'd catch it before it does. Although it is possible, I think it would be unlikely to damage damage your engine, unless it's oil supply related, but then that isn't realy the turbos fault.
I haven't used roller bearing turbos myself so can't really comment on them.