Hi, U-SK, 

Sorry for late reply. 

Question 1 : If external unit is connected by GPIO directly, what are there possible problem when hot-swapping?

[Comments] This will depend on your system design: how external unit is power supplied, how the GPIO definition out or input, how the external unit behavior with the GPIO disconnected, how the voltage and current changes on the GPIO when hot plug/unplug, i.e. maybe current surge or overvoltage, etc. 

Question 2 : If there are any possibles, what should I add protection device?

[Comments] Yes. It is possible. But you need to design system level hot-swap protection circuit in the board. 

For GPIO protection, there are many technology to utilize: 

1. Add the protection circuit on GPIO trace: ESD protection component TVS, maybe RLC filter circuit (at least series resistor plus capacitor). This is the minimum protection. In addition, following items should be considered for more protection. 
2. Another option is to use specific protection components: Overvoltage, overcurrent, EMI, ESD and surge protection (http://www.ti.com/interface/circuit-protection/application-specific-port-protection/products.html#p2192=Current%20Limit;Over%20Voltage%20Protection;Short-to-Vbus&p158=USB%201.1;USB%202.0;USB%203.0 )
3. For I2C connection, there is hot swappable 2-wire bus buffers TCA4311A (http://www.ti.com/product/TCA4311A ) to provide protection. 
4. You can also use discrete components to implement the isolation for GPIO signals: Photocoupler. 
5. It is better to set the GPIO to high-impedance before hot-plug. 

If the external power supply is provided from MSP430 board, the power supply should be also protected. TI has the solution TPS2477x -- 2.5 to 18-V High Performance Hot swap Controller. (http://www.ti.com/product/TPS24770 )

Hope my answer can help to resolve your questions. 

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Best regards, 

Lixin