Consider a possible invention called a neuronic whip (taken from Asimov's Foundation series). The neuronic whip, when fired at someone, does no direct damage but triggers all of the "pain" nerves at a given intensity.

Assume that Jim is hit by a neuronic whip, briefly and at low intensity. There is no damage, but there is pain. Because there is pain, Jim would almost certainly consider this a misfortune, and would prefer that it had not happened; yet there is no damage.

So, considering this counterexample, I'd say that no, not every possible misfortune includes damage. Though I imagine that most do.