The light cannon is especially fragile mainly because of the small and delicate arc tube in its tiny 10 watt lamp- as small as they get. 35 watt D2s type automotive halide lamps are constructed to a much higher degree of durability, largely because of the vibrations that naturally occur in vee-hickles but also inherant in the higher power design (thicker quartz glass envelope, etc).
As far as I know, the state of a halide lamp (off or on) does not adverseley affect its durability. It`s the control gear you have to watch. Some older DC inverter-ballast designs had a high output resistance, meaning that with no lamp to keep things under check, the output voltage rose to dangerous levels when the power was applied- enough to breach wiring/socket insulation and potentially cause excessive currents and heat- burning the fixture. Today`s designs are probably better, but still some ignitors could fire even with no lamp, and those things can give 30Kv or more which at the very least, will hurt like f**k
But with the proper base for the lamps, you shouldn`t have to worry about shocks. They are more than adequate to cope with everyday use.