oh That's an AC line filter, we all thought you were talking about the EMI Filter board that usually goes between the wireharness and the game PCB.
First, no meter should ever blow up no matter what setting it is on. You might want to consider at least a $50 extec EX330 that way you dont end up hurting yourself.
The AC line filters do go bad, its generally a good idea to have those in the game since it keeps any RF noise going into the rest of your games and other electronics in your house. You don't absolutely have to have one though, and you probably won't notice one way or another. if you do want to install one back in there are literally thousands of places you can find them
such as this 4A one
http://www.twistedquarter.com/index.php?main_page=product_info&cPath=13_37&products_id=75Pacman only uses about 2A so anything above 2A will do you just fine. Also if your game is missing its ground pin on the plug, replace it. the filter can't really do its job without it.