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Owner's manual?
Some manufacturers warn against, some dont. On a Volvo v70 diesel, the revs go up to about 1300 rpm until you press the brake pedal enough for the brake light to switch on. Shifts smoothly to a suitable gear at any speed anyway.
I can not think of any way to damage the 'box if the engine is running. That way you must have normal oil pressure to lube the bearings? Disclaimer: I'm not a gearbox expert.
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