I've had many tantalum capacitors catch fire over the years. They're pretty spectacular (and smell horrible :-(), but they rarely do any more damage. They seem to go low resistance both ways round (rather than becoming a diode), and pass enough current to overheat. Then the burst and spray burning bits out... I have never found a cause of this. I've had several boards that have been working fine when put away, but when I pull the out of storage and try them, the capacitors go up. They had a sufficiently high voltage rating for the position, etc.

I don't think it happens to protect anything. The capacitor fails _at the normal operating voltage_.