Yes I have scratches all over my screen protector that came from using the S Pen, although it wasn't the S Pen that scratched it.
The tip of the pen is a soft plastic, it is impossible for this pen to scratch the glass itself. What's happening is some small particle, likely a mineral of some type like dirt or sand, is getting caught between the pen and the glass/protector. When you drag it across the screen with the pen it is then able to scratch it since the particle has a greater hardness than the screen/protector. The same thing can happen from using your fingers so it's not really the pen's fault.
For this reason alone I would always recommend using a screen protector for any device you own.