Disclaimer: I am a featured reviewer at DriveThruRPG.
Yes and No
Yes, digital sales hurt print vendors, such as bookshops. On the other hand, however, they're not hurting the industry of gaming. Admittedly, one could argue that some of the practices are perhaps a little sketchy (Catalyst putting out fifteen guns or drones or vehicles for Shadowrun every other week, for instance, and selling them for a decent chunk) but that's a publisher's prerogative.
The PDF market lowers the entry gap for publishing, and also the materials cost. Printing a book and shipping it around can be prohibitively expensive, and places like DriveThruRPG offer 35% of royalties, something you couldn't get print without a really high price.
While you don't necessarily see a ton of games published by large companies, and some of those are doing worse, some of this is not a sign of the market growing weaker, or the industry as a whole growing smaller. Yes, individual companies may be getting less market share, but the market itself is far from shrinking.
Exposure. Eclipse Phase is perhaps one of the best examples of this, and perhaps as a reviewer I got a lot more of this than the average person did, but being able ot look around on a website and see huge lists of games from a variety of genres let me find a lot of things easily.
Historical Editions. I love Shadowrun's Third Edition. I don't hate Fourth Edition, but I got started on Third and I am excited for Fifth because it sounds like the good stuff from Third and the good stuff from Fourth had a baby. You can argue that people going back and buying classic doesn't help progress, but I think that the ability to go and buy a PDF of Year of the Comet is not going to tell Catalyst that they should just sit on Fourth Edition forever, which they didn't do anyway. Heck, WOTC released their back catalog on DriveThruRPG, though I haven't checked it out.
Piracy. I'm not sure how good an argument this is, but I'll be honest-I know a lot of people who pirate their PDFs. Now, this isn't to say that you couldn't have found pirate versions before, but without any knowledge of the methods used I can say that it probably helps the quality of day one piracy (though, again, this would probably be an issue even without PDFs.
Antisocial exposure. Tabletop roleplaying is social. You don't get that online so much, though I've run fun online games. That said, usually when I get something that I really play, I've got the group in mind already. With a PDF I don't necessarily do that, especially if I'm just checking it out to see what the hype is.
Free games. Your mileage may vary as to whether or not these hurt the industry, but hobbyist games sites are pretty much everywhere; I'm working on a free game now (and I have in the past several times, but they're either unfinished or small scale), and I've played some really good free games. My introduction to tabletop gaming may have come from Shadowrun, but most of my early gaming was on free games from 1km1kt. Say what you will, I wasn't putting much money into the industry then (and I still don't put terribly much in now), but I definitely was introduced to the market from that.
My general conclusion:
No, digital isn't hurting the industry. Changing it, maybe. Large individual publishers may feel the hurt, but a lot of the things that people are saying are huge negative factors from PDF publishing are really the result of the information age-people sending a digital copy to their buddies instead of everyone owning their own hardcover, but the truth is that you can't change piracy. The modern consumer can handily justify stealing a digital copy of something. However, offering a digital copy for sale recoups losses from piracy, instead of aiding it (at least in the long term), and it also promotes small press and niche products.