Is it safe to connect Rx with Tx directly?

That is for the LMS8001 which is not the LMS7002M chip used in the LimeSDR-USB and LimeSDR-mini. I’d point you at this thread (Which is about the maximum input power for the LMI7002M chip. My current thinking is that it would be good to stay at least 10dB to 20 dB below the absolute maximum above which permanent damage will eventually occur, due to initial power on spikes that may exceed that limit, but that is just my opinion). There is a link on that thread that mention the additional hardware attenuation added by people using the LimeSDR-USB and LimeSDR-Mini as a VNA where they add 10dB, 15dB, 20dB, 21dB (15dB+6dB) attenuators to avoid damage.

The problem with relying on software gains to limit output power, is that as a board initially powers up the gains could be in any random state before being initialised to the required setting by the software. Most of the time all will be well, because statistically not all gains will be at maximum every time the board is powered up, but eventually the chip will fail because all the gains were randomly at their maximum.