The problem with dry-firing a rimfire is that the firing pin will strike the edge of an empty chamber, possibly causing damage to that chamber and to the firing pin itself. When a cartridge is in a rimfire ghamber and the firing pin strikes it, the blow of the pin is taken up by the brass rim of the cartridge, with no steel to steel contact.
When a centerfire is dry-fired, the firing pin hits nothing but empty air at the chamber. Hence the difference.