Here you see two diodes one is 5 volts second is 12 volts .In SATA power connector 2 kinds of voltage is available one is 5 volts and second is 12 volts. If we plug connector in right direction the current flows in right direction and diode allows the current to go into the circuit . You also say it p-n junction . One is p region and second is n region . The 5 volts diode allows the current under 5 volts . If the volts exceeds to 5 then it burned and switch off the power supply if you are using switching power supply .

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Why diodes are burnt ?
When we plug the connector in wrong direction a 12 volts passes to the 5 volts diode and it burnt.
And power supply is switch off due to short circuit.
The circuit is burn when we connect wrong power into the connector of the HDD.