They can measure the voltage without even when the wires are insulated. They use the insulation as an capacitor and generate a voltage in the clamp. When the generated voltage is the same as in wire no current flows in the "capacitor" and the generated voltage is now the voltage to read.
I think that's really a great thing. These days everything is so well insulated, so it is often difficult to get a good contact with the crocodile clams on the screw.
On the image below you can see the principal.
Japanese company's invent great things and nobody knows ... they have to yell MUCH LOUDER ...
http://www.electrotest.co.nz/PDF/PW3365E1_46E.pdf