I have seen a couple of rumors around the web concerning a message that may come while connecting your iPhone to iTunes asking you to update your Carrier Settings. First of all let me tell you, that every carrier uses different settings. This meaning, that updating can either harm your connectivity settings, or benefit them.
Some rumors around the web states that updating will mess with your iPhone unlock. Unless there is an unlock that relies on the carrier settings on the iPhone as default, don't update. Otherwise, updating won't harm your phone if unlocked with the traditional Ultrasn0w method.
However, be aware that updating the carrier settings might take EDGE, GPRS or 3G connectivity out of your phone. For more information, I would recommend checking with your carrier to see if your phone is supported. Otherwise, you may fix the EDGE and some other connectivity issues if you Google it correctly.
Or in worst scenario, you can restore your phone which will allow you to get back to the default phone's settings.