I was professionally trained as electrician in Japan.
Back then, Megger was a hand crank type. They easily put out few KV but very little current. Even if there is a huge nick and short, current was so low, it did not cause any (additional) damage. Cable damage can happen by accident (putting nail through, scrapes, or rats chewing on insulation). Megger will let you know the cable has leak. Again, current was low enough that it didn't cause any damage.
Of course, if you have any electronics plugged in, it would be advisable to unplug them.