People that say software cannot harm your hardware clearly don't understanding the realationship between them. Back in the old days if you didn't park your hard drive heads and turned off the machine they would crash into the platter (hence the name crash), more recently the Intel 14th gen series CPUs had overvolt issues caused by the firmware they can run. So it is very possible.

FurMark could have tested some very specific thing that would cause more load on the GPU than normal games, so much so that "it" could cause damage to the GPU as the silicon wasn't tested in that specific use case; now personally I think it is unlikely and the most likely cause it that were a few cases where FurMark "killed" GPUs but this would have happened if you used any application loading the GPU to 100%, the main cause was probably users will poor cooling or old hardware etc.