[ImCoKeMaN]

That is not entirely true. The Vogue unlocker is not write protected. I described my reasoning in it's thread. But basically, if you use the customs it doesn't matter. A carrier shipped rom with an SPL will overwrite it however. This can be good in some cases (relocker) and bad in others.

To make the danger more clear read the following (and let me know if it makes sense):

If you're carrier did not ship an update for your device do not run any EXE updates from another carrier. Only use custom roms, or user separated roms (OS, or radio only) As a shipped EXE will relock your device to the other carrier's rom until unlocking again. Another risk here would be if you were unable to boot to windows you wouldn't be able to flash ANY rom even via bootloader.