Yes - AFAIK firmware updates on all their devices clear your settings, and they also make the history inaccessible, so make sure you've downloaded all your activities before updating and made a backup (you may as well erase your history at that point, too).

I will say that although I'm really not familiar with the 500 at all, it's generally a good idea to take a look at the Garmin forums before applying any firmware patch. I don't update mine automatically any more. Taking into account that any software/firmware update will cause problems for some people - and taking into account that the internets tend to magnify the scope of problems just because thousands of happy customers don't go around complaining or looking for tech support - still, if I'm not having problems with whatever firmware I'm running, I usually wait a couple-three weeks to find out if a lot of people, especially the experienced users, are having trouble with the patch.

JME...