As large-scale distributed energy resources are integrated into the active distribution networks (ADNs), effective energy management in ADNs becomes increasingly prominent compared to traditional distribution networks. Although advanced reinforcement learning (RL) methods, which alleviate the burden of complicated modelling and optimization, have greatly improved the efficiency of energy management in ADNs, safety becomes a critical concern for RL applications in real-world problems. Since the design and adjustment of penalty functions, which correspond to operational safety constraints, requires extensive domain knowledge in RL and power system operation, the emerging ADN operators call for a more flexible and customized approach to address the penalty functions so that the operational safety and efficiency can be further enhanced. Empowered with strong comprehension, reasoning, and in-context learning capabilities, large language models (LLMs) provide a promising way to assist safe RL for energy management in ADNs. In this paper, we introduce the LLM to comprehend operational safety requirements in ADNs and generate corresponding penalty functions. In addition, we propose an RL2 mechanism to refine the generated functions iteratively and adaptively through multi-round dialogues, in which the LLM agent adjusts the functions' pattern and parameters based on training and test performance of the downstream RL agent. The proposed method significantly reduces the intervention of the ADN operators. Comprehensive test results demonstrate the effectiveness of the proposed method.