While I’ve not encountered any sleep-walkers to date, I’ve often heard that they should not woken mid sleep-walk. It seems this advice is more for the well-being of the person trying to help someone who is walking (or cooking, or driving even) in their sleep, rather than the sleep-walker:
Sleep experts warn that forcefully bringing a person out of a deep sleep into this impaired state can cause them to become startled, confused or agitated. Not immediately recognizing you as someone they know, they may push you, strike you, or otherwise lash out at you. Even if they don’t react aggressively, some sleepwalkers have been known to drive or prepare meals in their sleep, and having a groggy, confused person behind the wheel or at the stove can be dangerous for them and for others.