This particular dust devil probably wouldn't cause any real damage, though in the April image it was clearly picking up dust and creating a faint, bright streak. If you went and stood in the way and the dust devil came over you, you'd certainly feel it, though. I once drove my car into a dust devil down along I-8 near Yuma, Arizona, and it definitely jiggled the car around. I should say, however, that there are documented cases on Earth where dust devils, as opposed to tornadoes, have caused some damage, including buildings, but usually this is not the case. Some stronger dust devils can have winds comparable to small tornadoes.
Dust devils are one of the mechanisms by which dust is moved around and redistributed on Mars.
Dust devils may contribute some of that dust that gives the sky its pinkish color. Dust devils also appear to play a role in cleaning off dark surfaces. For hundreds of years, people saw in telescopes that Mars' surface markings would change over the course of a year. In spring, areas would get darker and then get lighter in autumn. We now know that blowing dust is what causes these changes, and with Mars Global Surveyor's high-resolution images, it now appears that some areas darken because dust devils come along in the spring and summer months to clean dust off that accumulated in autumn and winter or, at least, that's what I think we're seeing with this camera.