Most likely they were testing a live circuit. Continuity testers are designed to test UNENERGIZED circuits. The bulbs in these testers are only rated for around 3 volts. If you hook this up to a live circuit in your house, you just put 120 volts through the bulb and that is why it blew out.
No we do not. Due to the fact these are kind of awkward/specialty bulbs, if you can find them, most times the store carrying them is charging almost the cost of a new tester if not more. The continuity testers are pretty much designed as throw away items. For the voltage probes, most times these are soldered directly to the circuit board and are not to be replaced.