By mistake, I have flown twice with out the Micro SD Card in, and get the warning. I was only in the air for 30 seconds or less, but saw no problems.  I have flown previously, and mid flight have my card to get full, and get that warning also.
Is the card even needed to fly? Risky practice to fly without?
Can I format card in the field and continue flying? Is the firmware needed on the card once the aircraft has been updated?

Thanks!!

You can fly without the card.
Once you have updated firmware, you can delete it from the SD card.
You only need it to save images and videos on.
You can format it in the app.

When the drone is in the air, you need to stop the recording if it's recording, and then you can format the SD card.

Flying without SD card has nothing to do with safety, you just don't have image or video stored, but still gets a live transmission to your phone/tablet of  lower image quality.