Well, the train may still break something, but operating in a SPZ makes it very unlikely that the "something" will include other trains. It can still bring down the wires or interfere with the signalling, but the test train will be the only train affected, and I suppose it would be easier for NR to spring into action and fix any issues (particularly if they're already on site keeping an eye on the testing).
It's actually done because EMC testing in a SPZ means you don't get EM emissions from other trains mixed up in your data, so you can check exactly how your train interacts with the power supply etc. If everything looks good, then you can move on to in-traffic testing! Passing the EMC tests doesn't guarantee that the train won't cause any EMC issues because it's impossible to test every possible scenario, but it gives a good indication of EMC performance.