AFAIK, you can't damage anything.
But you definitely won't get anything interesting.
The pitch out is not an audio signal output. It is a CV signal. It has nothing to do with the waveforms, it is just a voltage that represents the pitch playing. I forget the exact mapping, but an octave up in pitch is a CV output of 1volt higher.
So, routing it to Pitch CV in would do nothing, since it's just routing a signal back to where it came from (it mixes the pitch CV with the voltage that comes from the keyboard; if both are the same, the mixed voltage is the same)
Routing it to Filter CV would vary the cutoff of the filter based on the note. I think the filter CV input is also approximately 1v/octave, but obviously the filter cutoff being stable in tune isn't critical like an oscillator.
So, you'd just get a less flexible version of the Keyboard Tracking knob, which does the exact same thing, except you can change the range from 0% to 200% (filter cutoff goes up 2 octaves when the pitch goes up 1)