I've not tested a CDI before but I've used plenty of multimeters, so maybe this helps a little:
Most multimeters have settings for resistance (in ohms) and a separate setting for continuity. The continuity tester only measures if the pins are "connected" or "disconnected" and gives no reading of the resistance between the pins. If you use the resistance setting when you have infinite resistance, (when the pins are not in any way connected) then you get a reading that will be something like "---" or "O.L" on the screen. It will be the same reading that you get when you hold the two multimeter probes separate from each other before you begin testing.
If you want to measure something that has a real resistance listed (for example the KS to EXH pins) then you need to use the resistance setting and should see 5 to 100 ohms according to the chart.
For any that are marked as infinite that just means those pins shouldn't have any connection. I doubt that even a broken CDI would cause those pins to be connected. Effectively the manual is saying you don't really need to test those ones. I would start by testing all the connections that are not marked as infinite. If they appear okay then check the infinite ones.
For any pins that are marked as "0" that means a direct connection between the pins (for example E to P-). For those ones you can use either the resistance setting, or the continuity setting. If you use continuity then test out how it works by holding the probes of your meter together and checking that it beeps/buzzes or gives you some reading on the screen. That shows they are connected. Now test the pins using the probes and if they have 0 ohms you should get the same buzzer going off.
If you use the resistance meter to measure 0 ohms, just be careful to know that you will get some reading that is likely not exactly zero. There is already a little resistance in the probe leads and your meter may auto-range to read in milli-ohms. So you're just looking for a small number here.
One last thing to mention - if your multimeter has old batteries then it can start giving some weird readings for resistance and continuity. If you get constantly cycling numbers it could be the batteries in it, so worth checking that.
Honda Rebel 250CC (1985)