You can still fuck up the connector on the motherboard, and consequently, the CPU. I'm speaking from experience: I had to replace a motherboard and a CPU. I still have the useless i7-870 as a sort of trophy of my ignorance of those pin-less CPUs (it was my first). Edit: actually, I remember now that the initial motherboard had a manufacturing problem on its socket, but as that was my first, I didn't know, and that led me to try and fail blatantly, killing both the motherboard and the CPU ; I only realized when seeing the new motherboard with a non-busted socket.
This has been my method for a while, but the last 2 PC's I've build have had fan/power connectors in places that I simply can't get my hand too once the board is installed, leading to me either pulling out case fans, or even CPU coolers, just to connect a 4 pin CPU power lead.
Double check your hand will fit in the thing first!
You still have to clamp it down worryingly hard, but it doesn't go crunch anymore, and I think it's probably quite hard to damage the contacts.