as long as no pc is accessing the files while you shut off the router, it wont be an issue. If any pc is trying to access any files on the router (either by ftp, dlna etc..this includes xbox and ps3) than there may be a loss of data. Think of it like holding down the power button on your computer or pulling the plug out from it. Most likely nothing will go wrong but sometimes you may get corrupt sectors, lost data etc.