Not at all - i am upset that my Fluke 8508A does not have shrouded sockets (which is lab equipment). It means i have to have a set of test leads with the shrouds cut off.
If you are routinely calibrating hand held meters then you are injecting up to 1000V - I personally like test lead shrouds in case one day i have a brain fart and forget to switch off a calibrator output.
Well, if someone is dealing with really high voltages regularly, they actually might feel more comfortable with shrouded plugs.
That said, I'm using my calibrator up to 1000V quite often, and not so much for calibrating DMMs, which I don't consider risky at all, as it's a straight connection, but mainly for leakage tests on capacitors, relays and other stuff for precision instruments, where leakage currents <1pA are required. That means connecting components isn't as simple as just plugging a pair of cables, but using the usual lab accessories, like clamps and hooks. Even if they are compatible with shrouded plugs, it wouldn't make much sense, as there inevitably will be exposed contact materials anyway, at the very least on the d.u.t. itself.
Still I don't worry about that, because I can set up the test unhurriedly on the bench and instinctively follow the rule to use just one hand at a time when fiddling with the leads, plugs, accessories and d.u.t. whenever higher voltages might be present.
And then - how much current do you have available at 1000V? I don't think I've seen any calibrator that would output more than 10W, often less. That leaves you with a couple of mA, which might 'bite' you, but certainly not cause any electrical injury.