Of course, that only works if you have a way to load unsigned microcode. AMD added a signature check to their later CPUs, and Intel CPUs have always checked the signature.
Well, couldn't a microcode update cause a hardware malfunction so catastrophic that the wrong voltages get sent to the CPU, thus destroying it? OK, I admit, that is reaching.
When someone can provide a proof of concept of custom microcode trashing a CPU then I'll believe it's a possibility. If that's what you want to do I would have thought a BIOS modification was a simpler means.