Turning DMM function selector with leads connected

Hello,
Right now I'm beginning my adventure with electronics so I bought
myself a multimeter -
Kyoritsu 1009
(http://www.kew-ltd.co.jp/en/products/multimeters/1009.html).

The manual states: "Do not turn the function selector switch with test
leads connected to the instrument."

My questions are:
- How seriously should I treat this warning?
- What are the consequences of not following it?

Regards,
Rpodraza

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