It's not just the socket selection, it's the range selection as well.
I have often thought that using clips instead of probes could turn to disaster if you were to change the range switch while the clips are connected. My next thought it that it's just been luck that I haven't destroyed a couple of meters. In the old days, meters didn't have fuses and it was entirely possible to probe 480V on the 10A scale. I have seen the results of that: The meter was totally destroyed with pieces of plastic embedded in the technician's chest. Fortunately, no serious injuries.
The fuses have made mistakes a lot less costly.