there is very limited truth to that. the issue is that amplifiers are not always inheriently stable with dominantly capacitive loads.
however the components should be resilient enough to prevent destuction. It takes a few minutes for the unstable amp to overheat, at which point it should go into protect mode.
And its assumed that someone probably tested the amp at some point and would have noticed the amp's inability to drive realistic loads and thus someone would have fixed it.
overall, i wouldn't worry about it. If you are worried, some 1000 ohm resistors in series with the test probes should prevent the amp from seeing a sufficiently capacitive load. but again, its unlikely the DMM will adversely affect things.