I think most Magnetron (microwave oven) user manuals tell not to use it without load, e. g. a glass container filled with water.
Microwave is multiple reflected at the walls in normal operation, a smaller part is always reflected back to the source, causing additional lossses. Viewn from the generator, this effect can be described as a standing wave ratio (V.S.W.R.). With most of the MW power reflected, the Magnetron source gets overheated. However, home appliance devices are designed to stand a high V.S.W.R. operation for shorter dwell times, but not permanently. Hopefully, the thermal protection switch at the source responds before permanent device damage occurs.
Higher power industrial microwave generators usually have additional protection circuits to prevent from possibly dangerous modes of operation. At higher power levels umatched load can also cause electrical arcs, in the waveguide or inside the magnetron.