You can corrupt directly if Dolphin crashes while the memory card file is open for writing. I've gotten this once (so far). You can also corrupt indirectly if you get hit with some game bug that breaks your character; I got hit with not one but two of the Challenge bugs and got one of my Technique levels reset along with my material counter. I had to revert to a backup to fix it.
Even without corruption, you must always have backups when playing online, as the Endless Warp bug will eat your items sooner or later (that, and random quest loading crashes). Double Save FSOD was caused by malicious players crashing your game on purpose, and thankfully most such bad actors got bored with PSO a long time ago and have left to torment the users of newer games. It's also worth noting that (some) private servers have protection to block some of the malicious cheats used so often on the official servers.
Even without corruption, you must always have backups when playing online, as the Endless Warp bug will eat your items sooner or later (that, and random quest loading crashes). Double Save FSOD was caused by malicious players crashing your game on purpose, and thankfully most such bad actors got bored with PSO a long time ago and have left to torment the users of newer games. It's also worth noting that (some) private servers have protection to block some of the malicious cheats used so often on the official servers.