I built mine on the carpet and nothing happened, but it's not recommended.
It's a safety precaution just like wearing an anti-static strap.
If a screw falls under the motherboard, don't leave it there, it could electrocute the motherboard. The screw connects with the case, case is electrified(static electricity), transfers it to the motherboard.
Don't forget to screw in the GPU, just leaving it in the slot could overtime destroy the slot, because of the GPU pulling it downwards.
Don't forget the I/O shield, put it before the motherboard, so you don't have to do it all over again.
The fan of the CPU's cooler should only be connected to CPU_FAN, all the other ports can be used for case fans.