Yes, it can hurt the monitor. It is safest to wait until you know there is a 15Khz signal, and not a 31Khz signal being sent.
If you would like to show your DOS screens, boot screens, and even be able to load windows on your arcade monitor, you might consider an ArcadeVGA card from Ultimarc.com . This card is designed to output 15Khz by default, and work without needing AdvanceMAME much.