In simplest form the dial switches suitable resistors between probes and meter coil so that multiple ranges of voltages and currents cam be measured with a single meter.
If you try to measure 40V at 20V range then the meter would have to go to 200% reading because there is two times the current flowing it needs to display 100% reading. The coil cannot move the meter physically and the coil might burn because of excess current flowing unless there are protection components to limit it.
The meter does not know how much voltage you are about to measure and has no active components to detect or switch the range automatically.