From a pure gaming perspective, yes—you are bypassing intended progression. However, in the retro community, the consensus is this: The game is nearly 20 years old. Online servers have been shut down since 2008. You are not hurting anyone.
If you want, I can provide step-by-step instructions for backing up on Windows/macOS, renaming save folders to match an emulator, or tools commonly used for PSP save UID editing. f1 2006 psp save data