There are places where absolute rules exist for a reason and should not be broken, ever. These rules generally fall into two categories: science and safety.
Science rules are simple: things just work a certain way, and nothing you do will change ever them. Red and yellow mixed together make orange, and will never give you the shade of blue you’re looking for. You can’t boil toast. You will never be able to type 5,000 words per minute no matter how much you practice. Making a mess and wasting materials isn’t creative; it’s just messy and wasteful.
Following safety rules is not the same as taking risks. Crossing the street involves risk; safety rules inform you to look both ways first to minimize that risk. Don’t text while driving, don’t skydive without a parachute, don’t make Banner angry (you wouldn’t like him when he’s angry). Safety rules exist to protect you, and to protect other people. There’s a reason that pork sushi isn’t a thing.
Knowing what rules should not be broken goes back to the need to know what the rules are, and why they exist, in order to know how to break them. If you know that something should not be tried under any circumstances, you’re saving yourself time. Focus your creative energy elsewhere.