It is not a good idea to try and improve the input protection of a dmm yourself unless you ...
Agree. That said, OP may just be asking why not use them. They certainly have their place. The cheap ANENG meters I looked at use one. Not that it did them much good. The poor circuit board design did a much better job protecting the electronics. Funny is some people look at this as a good thing.
I used them as part of the videos I made showing a highly modified UT61E. I had several videos showing Dave's pre-production 121GW meter after I damaged it with a fairly low voltage hit. One of the videos showed the meter after I had repaired it. I added two different TVSs to the meter along with a few other changes in an attempt to harden it.
My advice is start reading the datasheets. There are reasons the various techniques are used.