Unsupported means that bugs related to ONLY this display mode will not be fixed, as STJr doesn't provide support for it. Most OpenGL fixes are done by the community instead. For example, you'll see some of JTE's improvements to OpenGL in SRB2ME, if I recall correctly. (I heard SSNTails say it on IRC)
Crash is just a precaution thing. It's only said to crash because it's unsupported and there's no guarantee it'll work. But in most cases, it only really crashes when your graphics card doesn't have the right drivers. If you can play it, you're basically fine and it shouldn't crash.