You mean the BIOS backup battery? The lillte (Usually) CR2032 or similar?
There is a risk of BIOS data loss that might put the system back to default settings if you have changed anything in there, and the system clock may go back to it's default as well. Depends usually on how quick you are at changing it. if you get yourself sorted out beforehand you can probably change it in around five seconds. I have not run into problems with the couple I have changed, but it is usually a once in the life of the PC kind of job.
Avoiding loss of BIOS settings whilst changing backup battery is easy. Simply change the battery when the PC is running. You can leave it out all day, go to the shops, find replacement, do a Macca's run, then go home and replace it. The battery is only needed when the system is powered down.
I don't do it with the PC running, but I do it with the PSU still powered up so the system voltages are all up. Just I am never keen to tell someone else to do that! I have done it unpowered though without loosing any settings.
I am surprised though that they don't store customisations in NVRAM, that way the only thing you would risk loosing would be the real time clock setting.