Yes, if you get it wrong the device won’t work. Generally you won’t need to change firmware to fly stuff, especially if you stick to more main stream electronics and radios, which like all devices from big manufacturers are designed to give the minimum of tech headaches to users. I have a £50 TX and several planes, a dozen or so ESC’s, not needed to change any firmware.
OpenTX is the most common radio type where you might change the firmware but big updates are not super often, plus you can back the whole lot up first, just like you would with anything else.