At some point it would become a problem, but we are talking orders of magnitude more than you are likely to ever see outside of a hardware production lab.
More likely is that you are talking about installing the EFI updater, rather than running it to flash your firmware. If you are getting the message out of Software Update, then that is just installing the update software, that is not doing anything to the firmware itself. If you find yourself in that sort of a loop, then look in /Applications/Utilitites to find the actual firmware updater, and run that. That will shutdown the computer (it is very explicit about this) and then you will have to hold down the power button untill you get a beep, then a progress bar will show you the update happening.