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Is this an area where I seriously risk bricking my CPUAs far as I'm aware, there's no particular state involved for you to brick the CPU, but you can easily write a firmware which will prevent boot, or fail some time after boot (In the case of removing critical ME blobs). You could brick your board temporarily, but you're going to be using an external flasher (with a convenient little SOIC clip :- ) anyway, so fixing it is a matter of writing back the old/working image.
This is, of course, assuming you are able to write anything that works to the flash, which you might not be able to thanks to BootGuard.