Mine will do this as well. I was told it is air going out the intake relieving pressure on the turbo during the shift. Don't know how correct that is though
I do not believe so, it is not like the compressor is sealed holding air in the CAC system. If it would I believe the 6.4 groups would be seeing shaft failures already. Maybe in the long term it could be a problem but I am not that well versed in turbos.