If it says do not thaw and to cook from frozen, it just means you do not need to thaw it before you cook it. Thawing is the act of unfreezing something. This can be accomplished by leaving something out at room temperature to naturally thaw.

What happens if you don't defrost before cooking?

If food is still frozen or partially frozen, it will take longer to cook. The outside of the food could be cooked, but the centre might not be, which means it could contain harmful bacteria.

Is it bad to cook without thawing?

Yes, it is 100% safe to cook foods without thawing. Foods can safely go from the freezer to the oven. The best results may or may not be reached, depending on the food involved, but it is safe.