I've been told to never run the jet out of water. I've only fired mine out of water for a second or two, just to be sure it'll fire once I get to the water. I've been told that running the pump dry can cause many problems:wear ring damage, burnt bearings and bushings, burnt packing rings and seals. I'm sure some of the other guys can give you more specific details on why not to do it.
My advice: Don't do it!
Hope this helps.
John