Not familiar with that effect myself, but not to say it can't happen. Sparks in air can have extremely short risetimes; sparking to the resistor lead basically sets up that lead as a crude transmission line element, resonance of which is some 1GHz, ballpark. That, and perhaps the resistor element and its ceramic body makes something of a waveguide structure, and combined with the extreme peak power (say 10kV in fractional ns), you could very well end up with the effect of microwaving a CD, except it's the thin metal film of the resistor.
Put another way: the voltage along the resistor element does not distribute evenly and instantaneously, and the high-frequency voltage limit can be much lower than you would otherwise expect. This is why oscilloscope probes are rated as such, for example.
You would want to use pulse-rated, wirewound, or perhaps thick-film, types for this. Or good old carbon comp
Tim