You don't need to do that, Hancom stuff is included in the ROM, Java is on your original CD which came with the Z.
As for what you loose, I only had the original ROM on for a few hours before wiping it, so I can't help here. But you will loose the Japanese dictionary thing (I never tried it), I had a sample video preinstalled which is not on my CD, you'll loose that unless you copy it off first. Other core programs remain, included by default with 1.21b is a swap memory manager which is very useful, Kino2 video player, a terminal (not sure if that is there by default with the Sharp ROM), the media player from the 6000 is included with a GUI makeover and the ability to play OggVorbis files. All the PIM stuff, hancom, help browser, standard music and video players are the same. There probably are more additions/removals but I can't remember anymore than that.