I think I read somewhere that the GP32 itself doesn't look at the write protection sticker, can't test this at the moment because I am at work. If this is the case then the write protection will only work with an external SMC writer. You can always write (and erase) with the SMC card in your GP32.
Also remember that if the GP32 does respect the write protect tab and you use it, you won't be able to delete roms from gpengine, save you high scores, save/alter ini files, make save states etc.!