If there is a normal shutdown, no work is lost.
If there is a crash, you can lose an entire work unit unless you have created a "checkpoint" file which keeps a periodic snapshot to your hard drive.
Then, if you crash, you can only lose work since the last snapshot.
On the config screens, just put some kind of name in the checkpoint file question, and it will start one. Pretty cheap insurance. The only drawback is increased hard drive access, so you drive will never go to sleep.