I understand that most antiviruses by default quarantine infected files. I have changed it to remove all infected files immediately. Would this cause more harm than good?
An excellent question, from previous experience a virus rewrote my Windows bootloader and the virus was remove later by my antivirus, consequently leaving the OS unbootable. Quarantining virus/malware is more advisable in my opinion due to if the file needs to be recovered later it can.
The idea of quarantine is like ("trapping a zombie in a jail") e.g. the antivirus will store the virus in it's likely encrypted folder where ONLY the antivirus can read it. To answer your question, yes it could cause more harm removing the files immediately (The virus infections could be root/admin level).