Other people have talked about the circuitry, but in a simple sense your games are usually not 100% loaded into memory because of how large the game files are nowadays and how fast flash/SSD memory is to access.
They do what’s called streaming where sections are dynamically loaded in and out of active memory. In the event it’s doing a load/store operation that could corrupt the data its loading by means of short circuiting like the others talked about.
The same way they tell you not to power off during an update or to update bios during a thunderstorm. A sudden loss of power tends to fuck things up.
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