Any time you burn fuel and that exhaust goes anywhere but straight back, you lose efficiency.
When your exhaust plume doesnt match the size of your engine nozzle, some of your energy goes into creating turbulence around the outer edges of the nozzle, (over expansion) or simply pushing ambient air farther to the side (underexpansion).
So you can gain a bit of efficiency when you can match your expansion ratio to the ambient air pressure...
but at what cost? It costs money, reliabilty and weight to add adjustable engine nozzles, so unless you are gonna be hanging around at alot of different altitudes instead of passing though, its usually better to just have a nice, cheap eliable, lightweight fixed nozzle optimized for the situation you are going to spend the most time in.
As for damage, its a much more hospitable environment in a jet engine exhaust nozzle than a rocket engine nozzle. One you can be near with earprotection and be fine, the other will beat you to death with a constant stream of shockwaves ("sound") at over twice the distance. Rockets are VERY violent.
Listen to it loud enough to where you can hear people talking at the beginning but keep your hand on the volume slider.