By shorting, do you mean make before break or do you mean the farther the switch is turned the more of the terminals are shorted together, so as to cut in more and more capacitors?
I use that arrangement in a transmitter doing about 350W carrier. There's a coarse loading and fine loading done this way with two switches and two sets of caps. Switched the loading in increments of 100-400pF hot hundreds of times @ 300-400W carrier with modulation and never evidence of burned contacts. -in all these instances the tuning was already pretty close.
Switches look like those from WWII stuff. bad picture here, top left area, the 'fingers' type of switch.
http://bunkerofdoom.com/tuckerkw/rf_deck_rear.JPG -just to say those have not failed.
Before having made up tuning charts for each band, I always did a low power tune-up with this setup. Just an opinion but burning might be more likely when initially tuning up rather than when fine-adjusting.