Firmware updates are essential as they help enhance the Surface Go's overall stability. However, this is not the for the May update as it bricked some devices, as spotted on this Microsoft forums thread.
A couple of users that installed May's firmware update for the device have lodged complaints, that it rendered their devices unbootable. They would get the "No Bootable Device" error. At the moment, Microsoft is yet to provide the users with a way around this issue.
The best way around this till Microsoft comes up with a more permanent solution is to pause Windows updates (via Neowin). It is not possible to uninstall a firmware update on Surface devices, therefore, if you haven't already made the update you will have to hit pause as it is still available for download to prevent your device from being bricked.
Microsoft already knows about this problem and is currently investigating it. However, they have not yet provided a timeline indicating when users can expect this issue to be fixed or what to do with the bricked devices.