Welcome to the forum.
Does the manual specifically tell you that you can check the mA fuse continuity that way?
The 10A range, due to the high current, has the shunt and series fuse permanently connected between the 10A terminal and Common. The manually switched mA / uA ranges use multiple shunt resistors, going through the switch contacts.
Moving my head quickly to compensate the camera shake (
), it looks as if you have the meter set to the (low resistance range) continuity setting, this is probably too low to register the shunt resistor for the uA range, which could be several k ohms. Obviously the knob can't be in two positions at once so I suspect that the shunt setting defaults to the highest value (lowest current range) shunt resistor.
The way to check it is to use a second meter to check continuity, with the meter under test set to its highest mA range. The second meter should then be able to read the fuse + mA shunt resistor in series.