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.