So if your probe fuse blows without you knowing it, and you go to check if that wire is live, you get a nice zero voltage reading, regardless of whether the circuit is dead or not. The potential consequences of this should be obvious.
Input protection for the voltage/resistance ranges of a properly designed DMM consists of gas discharge tubes, MOVs, PTC thermistors, transorbs, etc. The internal fuses are for the current ranges ONLY, and need to be the HRC type for safety.
Properly designed input protection is the FIRST place that the cheap DMM makers cut corners. The second is properly molded and sealed enclosures, to contain the shrapnel in case of a catastrophic failure. Both are required to achieve proper safety compliance for a Cat III or Cat IV meter, which is what you want for measuring mains voltage.
A good illustration of what happens to cheap meters under high energy fault conditions is here:
http://www.eevblog.com/2010/05...