Under which possible conditions is measuring with an multimeter a danger to life ?
Some general points- of course you should always follow the meter and test probe manufacturer's recommendations.

There is danger from electrocution and from release of high energy (shrapnel, molten metal, vapor) in case of a short. Arc flash is a particular type of high energy fault that can cause fatal injuries, A lesser danger of injury (death is less likely) is from high high current causing burn injuries, which can occur even at low voltage. Some cheap meters have no fuse at all in the high current range and putting the probes across a hefty battery or high current supply will melt or blow the test leads off. Others have a fuse but with woefully inadequate interrupting capacity. 

In all cases using a multimeter with at least the minimum safety category for the situation will reduce the risk. A good summary of the categories is in this Fluke publication- ABCs of Multimeter Safety.

I would recommend CAT III for most mains measurement situations. 

Here is an analysis of an incident that killed two people as a result of using cheap multimeter.