About the only conceivable way you could blow something up is if two machines get into a loop. There are only a few ways I could see that happening. The first that comes to mind is that when stick welding you set the stinger down on the bench and accidentally knock the end of the stick into the MIG gun, TIG torch, etc. Not a likely scenario but possible. Because of diodes in the outputs I'm not even sure that would hurt anything, with DC, depending on polarity, not that I would try it. The other thing would be as you mentioned with TIG HF. If you left the TIG work clamp off, you could form some bizarre loopback if the TIG work clamp was grounding out on a cart and another machine's work clamp was on the table. HF always seems to find a way to get through to something, but it usually doesn't carry enough current to hurt things.
Long arc, short arc, heliarc and in-the-dark!