Can it harm the gearbox in any way if I don't always downshift in manual mode and let it do it's thing? I find it quite difficult and messy to downshift when hard breaking or similar situations.

No. It is designed to be an

automated manual and operate in D when you are braking.  Then in manual  It will ignore you if you choose a stupid low gear that will break the box.   Or some like diesels that will drop too low might try to put you through the windscreen to teach you to be more careful. 

Edited 28 July, 20223 yr by roottoot

DSG will always shift to prevent you from stalling or over-revving the engine even in M. Also kickdown still happens.