I am trying to determine the polarity of a high voltage diode. My Fluke meter shows an open circuit in both directions for the 10KV Z100UFG diode. Is that normal?

Yes, and no. When trying to identify the cathode and anode end of a high voltage diode, the meter has to have enough voltage to overcome the forward voltage drop, Vf, of the device under test. We use a test setup that includes a 30V current limited power supply. When testing for polarity, the current should be limited to mA going through the diode when it is connected in the forward direction.