In the arstechnica blog it is mentioned as
The key may also allow parties other than Intel—say a malicious hacker or a hobbyist—to update chips with their own microcode, although that customized version wouldn’t survive a reboot.
In theory, it might also be possible to use Chip Red Pill in an evil maid attack, in which someone with fleeting access to a device hacks it. But in either of these cases, the hack would be tethered, meaning it would last only as long as the device was turned on. Once restarted, the chip would return to its normal state. In some cases, the ability to execute arbitrary microcode inside the CPU may also be useful for attacks on cryptography keys, such as those used in trusted platform modules.
How someone can upload the firmware without the private key? Isn't it require a signature check?
How can we sure that our shipped CPU is not hacked by a third party?