The only fuses you remove are the radio and the info-- they don't affect anything.
Of course if you don't remove the info-- On-Star will have a recording of you messing with the computer. ----- Just Kidding.
The only reason they ask you to remove them-- they don't want a sudden change in the voltage, when loading a tune. That is why you should have good fully charged batteries, and do not open doors, or turn anything on or off.