Instead of telling everyone they're wrong, or nothing will happen, then why not explain why you think nothing can happen?
Nothing will happen instantly, but if you plan on playing daily at full volume / full gain, then chances part of the system could fail over time.
Max gain can certainly be a good thing if a HU simply can't produce the output voltage needed, as long as you aren't inducing clipping. Clipping won't hurt your sub/speakers directly, however you are effectively increasing the heating effect of the AC output by turning the sine wave into a square wave. This coupled with at or above RMS rating could easily burn the VC. It will also sound like shit.
As for the DMM method for setting gains... There is much more to setting gains than just putting a DMM on the amp's terminals, as well as many different scenarios that will effect how the gain is set.
An oscilliscope is definitely a key component to precise tuning of a system. I wouldn't tune a system without mine.