Because you get full power shorted to gate pin. The gate drive can't handle that kind of power. The PWM doesn't have to necessarily blow up, but it could be dead, or stuck on. If it is stuck on, well it will short out the new mosfet. There could be other devices in the gate drive circuit that could be bad.
Specifically for testing power supplies there is this "60W or 100W incandescent light bulb in series trick"
https://www.badcaps.net/forum/showthread.php?t=32748