- I think the voltage drop in your top example is caused by the voltmeter's input impedance (probably around 10M) that slowly gets into range of the ohm-meter.
- For range 20k and up it is again the voltmeter's input impedance issue. I think the 200Ω range is related to the diode measurement which requires a similar current source at a relatively high voltage. That leaves the 2kΩ range which is probably implemented in a cost effective way based on the current source for the 200Ω range.
Only with the circuit diagram the answer can be 100% sure.
Your multimeter will attempt to measure ohms by sending a known/set current through the attached resistor. This set current varies with the range your meter is in. However your multimeter has no ideal current source on board, but rather attempts to implement a current source from your battery voltage and a couple semiconductors, hence the open clamp voltage will never rise beyond the battery voltage.
Unsure why the voltage drops so much for the higher ranges, this will have to do with the way the current source is built. Notice that the 'high' voltage is not useful (forth column below) when you realize that the product of range times measurement current is much lower than the open clamp voltage (second column).
Also notice that the voltage measured in the lowest resistance range is identical to the voltage used for diode measurements for all three meters. For diode measurement you want a relatively high voltage to test the relatively high voltage drop across a diode. In that case you still use a constant current, but you are no longer interested in the resistance rather than the actual measured voltage. Useless to build two separate current sources for more or less the same current. On the other hand it is easier to build an accurate current source if you allow yourself a higher voltage drop across the current source and you don't need the voltage anyway (forth column).
Below are the results for my meters. For two out of three the input impedance of the voltmeter (10MΩ) was lower than the ohm-meter's range, so I skipped that value. The columns are as follows:
- range
- open clamp voltage
- measurement current
- maximum voltage required for measurement (range × current), notice how that voltage is reasonably constant!
DVM2000 (6V battery)
\begin{array}\\
\text{range} &\Rightarrow& \text{open clamp voltage} &\Rightarrow& \text{constant current} &\Rightarrow& \text{full scale voltage}\\
\hline\\
\text{diode} &\Rightarrow& 3.25\text{V} &\Rightarrow& 785\text{µA}\\
500Ω &\Rightarrow& 3.25\text{V} &\Rightarrow& 785\text{µA} &\Rightarrow& 500Ω × 785\text{µA} = 400\text{mV}\\
5\text{kΩ} &\Rightarrow& 1.19\text{V} &\Rightarrow& 91.5\text{µA} &\Rightarrow& 5\text{kΩ} × 91.5\text{µA} = 460\text{mV}\\
50\text{kΩ} &\Rightarrow& 1.18\text{V} ^{*)} &\Rightarrow& 11.5\text{µA} &\Rightarrow& 50\text{kΩ} × 11.5\text{µA} = 575\text{mV}\\
500\text{kΩ} &\Rightarrow& 1.09\text{V} ^{*)} &\Rightarrow& 1.1\text{µA} &\Rightarrow& 500\text{kΩ} × 1.1\text{µA} = 550\text{mV}\\
5\text{MΩ} &\Rightarrow& 614\text{mV} ^{*)} &\Rightarrow& 0.1\text{µA} \text{(last digit)}\\
50\text{MΩ} &\Rightarrow& ? ^{*)} &\Rightarrow& ?\\
\end{array}
*) The open clamp voltage for ranges > 5kΩ will probably be influenced by the 10MΩ input impedance of the voltmeter. They should probably all read 1.20V.
SBC811 (3V battery)
\begin{array}\\
\text{range} &\Rightarrow& \text{open clamp voltage} &\Rightarrow& \text{constant current} &\Rightarrow& \text{full scale voltage}\\
\hline\\
\text{diode} &\Rightarrow& 1.36\text{V} &\Rightarrow& 517\text{µA}\\
200Ω &\Rightarrow& 1.36\text{V} &\Rightarrow& 517\text{µA} &\Rightarrow& 200Ω × 517\text{µA} = 103\text{mV}\\
2\text{kΩ} &\Rightarrow& 645\text{mV} &\Rightarrow& 85.4\text{µA} &\Rightarrow& 2\text{kΩ} × 85.4\text{µA} = 171\text{mV}\\
20\text{kΩ} &\Rightarrow& 645\text{mV} &\Rightarrow& 21.7\text{µA} &\Rightarrow& 20\text{kΩ} × 21.7\text{µA} = 434\text{mV}\\
200\text{kΩ} &\Rightarrow& 637\text{mV} ^{*)} &\Rightarrow& 3.71\text{µA} &\Rightarrow& 200\text{kΩ} × 3.71\text{µA} = 742\text{mV}\\
2\text{MΩ} &\Rightarrow& 563\text{mV} ^{*)}&\Rightarrow& 0.44\text{µA} &\Rightarrow& 2\text{MΩ} × 0.44\text{µA} = 880\text{mV}\\
20\text{MΩ} &\Rightarrow& ? ^{*)} &\Rightarrow& 0.09\text{µA} \text{(last digit)}\\
\end{array}
*) The open clamp voltage for ranges > 2kΩ will probably be influenced by the 10MΩ input impedance of the voltmeter. They should probably all read 645mV.
DT-830B (9V battery)
\begin{array}\\
\text{range} &\Rightarrow& \text{open clamp voltage} &\Rightarrow& \text{constant current} &\Rightarrow& \text{full scale voltage}\\
\hline\\
\text{diode} &\Rightarrow& 2.63\text{V} &\Rightarrow& 1123\text{µA} \\
200Ω &\Rightarrow& 2.63\text{V} &\Rightarrow& 1123\text{µA} &\Rightarrow& 200Ω × 1123\text{µA} = 224\text{mV}\\
2\text{kΩ} &\Rightarrow& 299\text{mV} &\Rightarrow& 70\text{µA} &\Rightarrow& 2\text{kΩ} × 70\text{µA} = 140\text{mV}\\
20\text{kΩ} &\Rightarrow& 299\text{mV} &\Rightarrow& 23.0\text{µA} &\Rightarrow& 20\text{kΩ} × 23.0\text{µA} = 460\text{mV}\\
200\text{kΩ} &\Rightarrow& 297\text{mV} ^{*)} &\Rightarrow& 2.95\text{µA} &\Rightarrow& 200\text{kΩ} × 2.95\text{µA} = 590\text{mV}\\
2\text{MΩ} &\Rightarrow& 275\text{mV} ^{*)} &\Rightarrow& 0.35\text{µA} \text{(near scale low end)} &\Rightarrow& 2\text{MΩ} × 0.35\text{µA} = 700\text{mV}\\
\end{array}
*) The open clamp voltage for ranges > 20kΩ will probably be influenced by the 10MΩ input impedance of the voltmeter. They should probably all read 300mV.
Note added by barlop- It was the third one that was it. I tested it by sticking wires into the breadboard and touching the top of the wires with the probes. And then the bulb lit.
hypothesis: 1/3
You blew the fuse on the mA current measurement channel. The mA current channel is fused for 200 mA. A light bulb can sink that much (especially during inrush current), and a 9V alkaline battery can easily source that much.

It's possible that you have exceeded the current rating of the current measurement channel and blew the fuse inside of the multimeter. Make sure that you read the manual and know the rating. Make sure that you estimate the expected value for current before you probe it.
You can open the multimeter and examine the fuse.
You could try the other channel (the one that's marked 10A).
hypotheses: 2/3
It's possible that the positive (red) probe goes to the socket for voltage measurements. It should go to the socket for current measurement. I think in your multimeter the current measurement socket is on the left hand side (the one that says 10A).
hypothesis: 3/3
Yet another possible reason is that the probes are too thick and they don't reach the conductors in the breadboard. You can check this by setting the meter to continuity (plug probes in sockets that do continuity, of course) and probing two points on the same row of the breadboard.
Best Answer
I suspect an internal failure of the meter, which most likely means replace.