This isn't so much a multiplexing question as it is chemistry.
It's no surprise that giving too much voltage to LEDs can make them explode. However, does somebody know the chemistry behind why they explode? I imagine it's due to the heat being generated by the increasing current which would break down some material in the LED causing them to go into a gaseous state. Eventually the pressure builds so much that the LED explodes. But...what exactly gets changed to gas?
I tried googling this, but it seems the internet is more interested in making LEDs (and caps) explode than explaining why they do so.