The cover on the load tester is indeed to contain an explosion if it happens. Depending on the battery, there is a lot of force and often many fragments flying around when one blows up. The cover is a standard feature on most bench-top battery load testers.
As for cell caps being on or off for testing and charging, it is not only long-standing advice and practice, but it is necessary so as to see what is going on with the battery during both operations. Specifically, if one cell bubbles or foams during a load test, the cell is shorted- the test should be stopped. During charging, there should be mild bubbling in all the cells, somewhat equally; if one cell is bubbling harder or not bubbling at all when compared with the others, the cell is suspect, but not necessarily defective. More testing is in order in that case.
Keeping the cell caps off during charging reduces the possibility of hydrogen gas collecting inside the cells (reducing the possibility of explosion), and also permits easy access to the electrolyte with an hydrometer. The hydrometer not only will show specific gravity of the electrolyte, but during fast charging (40-60 amps or so), it will reveal plate shedding (indicated by a muddy, brown color) and severe sulfation (indicated by a milky color, like aerated water- gas bubbles). The plate shedding is a terminal situation, but the sulfation often can be remedied with slow charging for several hours. Anyone who tests or charges a battery without removing the cell caps is not doing the test completely, and is tempting fate and an explosion.
You can get by without removing cell caps if you are using a constant-voltage charger, which most are, set at a low charge rate, 5-6 amps steady-state current, but you are still tempting fate. Removing the cell caps is less trouble, and cheaper, than a trip to a hospital.
Harvester