A big danger is arc flash, but not everyone needs to worry about it. It requires a high energy power supply to sustain an arc flash. An electrician dealing with power distribution, or someone in a factory dealing with the circuits that drive high power motors should always be aware of and careful about arc flash. An electronics tinkerer dealing with devices that use batteries or a bench power supply for their power doesn't have nearly as much to worry about, and may be able to get away without much input protection. But if you are ever tempted to use the meter to check a household circuit breaker box, it's something to consider.
Protection against arc blast doesn't just involve using a good meter, but also using the right procedures and protective equipment.
http://www.geararcsafety.com/working_480-600_volts.pdfA proper meter will safely handle the full rated voltage, plus expected transients according to the CAT rating, across any of its terminals at any setting of the meter's switches. It will blow a fuse if you put low-impedance high voltage across it in current mode, but it won't blow up or create an arc flash hazard.
When in doubt, it never hurts to have more input protection than strictly needed. I certainly don't NEED a 600V CAT IV rated meter to check the AA batteries of my kid's toys, but the meter does an excellent job on low- as well as high-energy circuits.