you'll be fine -- even in the event that something happens mid flash, the accessport has built in safety features that prevent any damage from happening to the ECU.
I think they mainly have that printed for liability reasons.
with that said though, i would play it safe and flash it at your house or at least somewhere, where should anything happen - you have access to a phone and can call Cobb.
However, i have yet to hear anybody experience any problems. Cobb has been doing this for a while with the legacy, and even longer with the WRX. By now they have this system down pretty good and you shouldnt need to worry at all.
now get out there and flash that ecu~!