I once shorted out the mains outlet with a really cheap meter (with unfused 10A range). The meter survived, part of the probe pin vaporized though.
And I do not have access to a 10kV line or even a 100A line. Maybe shorting out 400V 100A line could make the meter explode...
Also, most of the devices connected to the mains (except multimeters) have glass fuses rated for 250V. If that fuse is good enough for a radio, PC or an amp, why a multimeter containing the same fuse should not be connected to the mains?
The issue is fault currents. Essentially the closer you are the source of the electrical power the higher fault currents. Fuse and breakers are given a interrupting capacity. The danger is that if the fuse cannot interrupt the current a plasma will form which is conductive and by-pass the fuse.
CAT 1 is for circuits that are not directly connected to the mains.
CAT II is for sub-circuits. The wall outlets in your house would normally be included in this category.
CAT III would be the distribution panel in your house. An outlet close the panel may be CAT III
CAT IV is for industrial applications, power entry into building etc.
Most of the catastrophic accidents occur when a multi-meter with inadequate safety is used.
The danger with a DMM is might be set on the wrong range, for example the current range and then connected to a supply with very high fault currents. This can trigger a plasma, like arc welding, and is called an arc-flash event.
A small fuse can protect some appliances because they are connected to circuits with lower fault current ratings.
Jay_Diddy_B