Circuit Question!

I think what the mark scheme is saying, is that when you first start this test on the lamps, you don't know which one is faulty or what the fault is. So if the fault was lamp A shorted, then the second test, where you close switch 1, would produce a short circuit.
This could damage the power supply.
Of course, as it turns out, bulb A was ok.
It was just a safety measure and is a good reason for using the ohm-meter and not a power supply.

Okay, but how could a shorted bulb blow a power supply but not an ohm meter?

Because a power supply has very low internal resistance. If you connect it to a short circuit, with no resistance, a very large current will flow. This could melt the wires or damage the power supply. Usually, a power supply will have a fuse that blows to prevent this happening.
An ohm-meter is a standard volt/amp meter that contains a small battery. When you set it to ohms it measures the current that flows through the component you are measuring and calculates its resistance from Ohm's law. It is designed with a large resistance in series (internal resistance) that ensures that, even if connected to a short circuit, only a small current flows. This is often called the current for full scale deflection, and the meter would be calibrated such that when it is connected to a short circuit, it produces a known current, determined by its internal resistance. When connected to an open circuit, no current flows.