A covered thermocouple can either be for a higher intended temperature range, or a averaged out thermal response (more mass takes more time to heat / cool)
In the case of a 3D printer hotend, having a hard metal casing that you can use grubscrews to get good surface coupling can outweigh the disadvantages of the higher thermal mass,
For the bare thermocoupes, you need some way to ensure tight coupling to the thermal block, otherwise it can sit in the center of the cavity with weak or no coupling to the end junction and rapidly swing in temperature while not actually measuring the real temperature of the block
Also unless you directly short a thermocouple wire to a higher voltage, e.g. 12V, it should never be able to damage the main controller, shorting to ground, or shorting between the pins should not cause any significant effect (what is a thermocouple but a hard short that is only able to make a differential due to the high impedance of the measuring system, and its still only in millivolts)