It not just the possibility of losing data that may be at issue. Users can get even more confused by the messages that windows throws at them due to roaming and local copies of their profile being out of sync.
The main reason for using profiles is to maintain a common desktop appearance, including network connections, pointers, applications, menus and so on. All of this can be controlled by the use of logon scripts and policy files which don't have the network overhead that profiles do.
I think it wise to point out to the client the potential for data loss and give the alternatives. I sympathise tho, if the client is insistent - we've all got clients like that.