When the output transformer is unloaded its flux gradually increases, but thus has no place to go. So the voltage climbs, often as high as 2KV to 5KV, which then manifests as back EMF which arcs three places: (1) Flashover arc between output transformer windings, (2) Flashover arc between the plate and other tube elements, and (3) Flashover arc between the tube socket pins, usually plate to heater. The result is the sound of a cash register, as you replace the output transformers and tubes. Even if the arc doesn't kill them the first time, it damages them and results in failure.
This is why large inductive loads, like relays and motors, use flyback diodes to dump the charge before it turns into high voltage kick and blows up whatever device is driving it.
Adding 100Ω to 200Ω or so across the output terminals ensures the amplifier is never fully unloaded, either intentionally or unintentionally when a circuit breaker or fuse in the speaker blows. It has no significant effect on the speakers, being in parallel, and can be left in place. An MOV or TVS isn't the right solution, because it still allows the situation to occur, and MOVs are known to explode.
As long as we're talking protection, adding grid stoppers and screen stoppers prevents arcing in your tubes, but that's a different problem and a separate discussion.