I could be wrong on this, but the firmware code is responsible for outputting to the screen, reading from the SMC and accepting input from the buttons/joystick. If you turn the GP32 off halfway through the flash, your unit won't have a working firmware (half-deleted files, or corrupted files) so will not be able to do any of these things.
You'd be left with a games console that can't read information, accept input, display anything on screen or make a noise. Basically, a more-expensive-than-most paperweight.
There is a way to load a program (eg a new firmware) directly into the GP's memory from your PC, so if you delete your firmware the GP32 is rescuable. However, you need to build a JTAG cable which - while technically very easy to do - can be very inconvenient to anyone without access to electronics components and equipment.
Be sure to get the universal viewer plugin for Slubman firmware - can open all manner of image files, very handy. I think it was one of the recent ADIC entries, you can get it from gp32x.de .