Unfortunately receivers don't shut down soon enough. When they run out of power to reproduce the requested waveform, they tend to "clip" the peaks of the signal off. This clipping is a very harmful form of distortion, which will eventually damage the speakers.
Left clipping long enough the receiver will shut down, but that may be too late. It's hard to describe in words how clipping sounds, but it's not good. If you turn a system up really loud and it starts sounding distorted, grainy, harsh, you've gone too far, ease off before you break something. Don't rely on the shutdown protection.
On the other hand, sometimes you can still push a receiver too hard without it running out of power. Using a speaker with too low of an impedance will cause the output devices to produce more heat than with a higher impedance speaker. If the heat builds up too quickly, the thermal protection of the receiver can kick in, and shut it down. That's not as dangerous to the speakers, as clipping, but the extra thermal stress on the receiver may shorten it's life. Plus it's annoying to have it turn off right when you're starting to rock out.
