Does it cause damage?

I remember this post from @James regarding some super high pressure mercury lamps that kept exploding:

https://www.lighting-gallery.net/gallery/displayimage.php?album=search&cat=0&pos=0&pid=242549

From what I can tell it usually causes damage.

It causes damage, but the only part that is impossible to design to survive is the ball enclosure itself. But compare to other costs in a proffessional lab operation I would think it is not that expensive to not allow to treat it as a consummable material for these measurements.

It is just a sphere made of some sheet metal, so not that expensive to make, coated with light diffusing material which are not expensive either.
The really most expensive part is to calibrate the thing. But as the properties are extremely sensitive to any dirt, contamination or surface damage, it needs to be calibrated very frequently anyway, so even that won't make the explosion damage itself that overly expensive either.

And it is not so often to need to measure a lamp where an explosion during the measurement is that much likely. Is so, it usually means either some special so expensive lamp, so some specialized test where the value of the measured data is very high, so there is enough budget to cover some extend of equipment damage.

The light diffusion coating of good quality integrating spheres is actually surprisingly expensive.  It is typically made from barium sulphate with a reflectivity set to 80% - this material being used on account of its relatively flat spectral reflectivity as a function of both wavelength and wall temperature, and to ensure the necessary number of internal reflections for the integration principle to work correctly with light sources having different luminous intensity distributions.  Without that, it would be necessary to calibrate the sphere differently for different lamp types and power loadings (which is sometimes still done where greater precision is required).  At the last time I had to order some of this paint, its price was a little under €2000 per litre - as such, for many years most of the lamp companies used to manufacture this paint themselves in their own chemical labs.  I had to make it a couple of times during training in my earlier career, quite an interesting process!

If the sphere is large enough, a lamp explosion is usually not too problematic because only a very small percentage of the inner surface is damaged.  More of a problem are the shards of broken glass which have to be cleaned up each time.  The barium sulphate paint has very poor adhesion, and can be brushed away with light contact.  It is out of the question to clean the inside of the sphere with any kind of brush, so the pieces had to be picked up by hand or vacuumed away.

Re-calibration is pretty simple - just install the reference lamp, give it 30 minutes to stabilise, and then scan the reference spectrum again.  This is done every few days or weekly anyway, to monitor the stability of the sphere as ambient temperature and humidity vary, but then using a checking lamp rather than the actual calibration master.  Since air conditioning has become the norm in recent years, sometimes the spheres can run for months at at time without need for re-calibration.