Comment # 18 on bug 1177256 from Slava Abramov

Starting release 20.40, packaged amdgpu-pro driver puts firmware files into
/lib/firmware/updates.  Suggested workaround for older driver is re-installing
it after kernel update.

And yes, firmware files coming with the dkms package have to be loaded, since
the dkms driver may support newer AMD hardware / features not yet supported by
the distribution kernel.