CAT rated meters are predominantly designed to safely deal with overvoltages without blowing up in your hand. When you open one up, you'll see that there are cuts in the PCB around the probe jacks and plastic barriers in the case that fit through those cuts which serve to isolate any sparks from jumping from one jack to another. There are also a bunch of MOVs to absorb overvoltages. Further in, there are minimum spark gaps between certain traces on the PCB. The design of the whole meter is such that it should be able to safely withstand a high voltage for some predetermined amount of time. That's also why the probes have ratings, as do tic tracers etc.
To protect against leads being in the wrong terminal during a voltage check, any of the current shunts will be protected by HRC fuses with anywhere from 10kAIC to 100kAIC ratings at at least 600V. There is also protection (usually non destructive) in the better meters on the resistance setting in case it's used on a hot circuit. Some manufacturers have shutters on the jacks that move and close off the openings for ranges that would be dangerous to use with the dial in a given position.
I use Agilent meters and I know I can trust them to protect me in any reasonable situation. I've even checked voltage on a pulse start socket (5000V
) before I realized it was a HID socket with remote ballast and gotten away with it and no damage to the meter. It did make a strange clicking sound from the pulses though