Never run a tube amp without a load!
Most solid state amps can be run without a speaker load without injury as the highest the output transistor voltage can go is the voltage of the supply rails. Some transistor amps however employ output transformers. In these you could have a problem if the speaker becomes disconnected with the volume up.
In a tube amplifier there is an inductive output transformer. With the volume control off the stop any music playing will create a voltage swing in the inductance of the primary of the output transformer which can reach many times the B+ voltage in the chassis, rising to several thousand volts or more if the speaker load becomes disconnected while the amplifier is making power. This can cause insulation system failure in output tube sockets, circuit connection strips, internally within the expensive output transformers (toasting them) or also damaging the output tubes from internal flashover.
Always run a tube amp (or receiver) into a dummy load, or at least short circuit the lowest Z tap of the speaker terminals and turn the volume to zero if testing to see if it 'lights up'. You shouldn't do such a test anyhow because if you are, you probably just got an unknown vintage amp and should be soft starting it with a variac to re-form the electrolytics.
Rob