No different to any other resister, or filament bulb for that matter.
Rear ones on the Bravo are external behind the bumper, so get plenty of cooling, and fronts behind the cover in the OEM HID headlight units I have, I'm sure they're not the only thing producing heat within the unit. Not had any issues in the year or so I've been using them.
The warning message is more to cover their own backside imo.