MH bulb has inner and outer glass bulb

When I talked to the guy who made up my last MH setup, I told him
about the potential hazards of exploding MH bulbs and UV radiation
released. He said: they don't explode when they burn out and he's
seen tons of burnt out ones. He also remarked that the safety
glass on the lamp fixture is not usually present since the bulbs
are actually two bulbs, a small one about 1.5" and the larger
enclosure. Presumably the large bulb contains fragments in
case the little guy bursts. Any comments?