As simply as possible it's part of what makes your File Sharing work with PCs.
+"Should I allow it?"+
It's up to you. You don't have to if you don't need PCs to connect to your mac so as they can access data. You could as easily do it the other way round. For example enable File Sharing on the PC and connect to the PC instead. I see by your rider you have a Sony Vaio. The link given by the other poster mentions that nmbd is part of the Samba Suite. Samba or SMB is the file sharing protocol used on Windows.
+"Is there any potential harm?"+
That will depend on what you decide to do and how you decide to grant access.
I only link to the Vaio occasionally, not very often. I n the course of my daily work, when I don't link to the Vaio or even have it booted up, it would be okay to deny all access requests with out harm, correct?
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What is nmbd?
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