I believe a few audio amplifiers used to have a problem being operated without a load, although I think modern designs have protection against this. If you connect an unprotected amplifier to the high impedance inputs of a scope then you are effectively operating the amp with no load, and this may damage it.
Also, it may be that the outputs of a mains powered audio amplifier are not meant to be connected to mains ground, and this will happen if you connect to the ground terminal of a scope.