All of the above holds true for CLAMPMETERS only. When you use an external current clamp (multimeter accessory), which is supposed to have the multimeter operating in current mode, you have to take care not to leave it unconnected. Because in this case, you will have a large voltage on the clamp's secondary winding. The manufacturers warn about this mainly to avoid injury, but I assume that their open circuit voltage rating is only good for the nominal maximum current. In this case, open circuit + overcurrent might damage the secondary.
Pure Hall Sensor clamps (and clampmeters) should be safe in this regard, whereas compound devices (like the fast current clamps from Tek etc.) are affected, because they have a secondary winding.