As long as SQL Server is stored on an internal hard drive within your computer, SQL Server by itself significantly reduces the risk of corruption because it supports many more simultaneous users.

If you run it on Wi Fi in a home network, and you’re the only user, you (hopefully) shouldn’t run into any issues. If you’re running a multi-user set up at a large corporate office, however, wired connections are generally recommended for stability.

I’ve had instances of wireless randomly disconnecting on me for a few seconds at a time when it doesn’t feel like connecting.

Tl;dr: If you’re a home user running a simple database setup with an SQL Server backend, Wi-Fi has generally been good enough for me. For large enterprise setups with dozens of users, you should use a wired connection.