Varistor over clamping voltage at DC
Varistors are designed to clamp infrequent pulse voltage spikes rather than for continuous dissipation, so they have very high peak current ratings for very short times, in your case 3000A for a specific 8us rise time, 20us fall time waveform, as long as you don't apply more than 10 of these pulses. If you apply sufficient voltage to exceed the 1mA point, then you are into the clamping range as shown in the datasheet. You should design the circuit so that the varistor current is below 1mA apart from infrequent transients, bearing in mind the tolerance of the 1mA point voltage.

Using the 0.6W average transient dissipation as a DC power limit isn't what the manufacturer recommends, and that fact that your sample didn't get "too hot" at 3mA doesn't mean that you should use it continuously at that operating point. Circuits have to be designed for component to component variations as well as varying environmental conditions such as temperature.

If you want to a possibly destructive test, then go ahead and make sure your varistor is shielded from you because they can and do explode when overstressed. In that case, the circuit design considerations are not the important factor. As you increase the voltage, the varistor will start to suddenly conduct a lot of current, that is by design. Whether it explodes depends on the available power from the source, and how many previous transients it has seen, each of which degrade it slightly. Typically, a transient from a low impedance source can cause the varistor to break down sufficiently that it is damaged, and fire results from the follow on power supplied by the DC or AC source into the material of the varistor.