The temperatures below indicate that there could be a problem with it. But I suspect it doesn't happen because of the difference in thermal density of kydex vs steel. In other words, while the temp of the kydex surface may be hot enough to be in the tempering range of some steels, there isn't enough thermal mass in the kydex to heat the steel up enough to do the damage.
Also, from reading the Tech Brief, I suspect many sheath makers (at least those who use heat guns instead of ovens) are not heating the kydex up slowly or consistently enough to acquire the prescribed thermal mass. The outside layer of the kydex is hot enough to bend, but the inside is some amount cooler due to the thermal insulation property of the material itself, thereby reducing the absolute amount of heat in the kydex.
Tempering temps for hi-carbon steels: 300-500° F range
(hopefully some of the bladesmiths in the crowd will correct me if this is grossly wrong, but I don't think it's too far off)
Kydex working temps from Kleerdex (mfr of kydex)
Tech Brief TB-116:
330 - 350°F (165 - 177°C) for £ 0.060” (1.5mm).
(most common sheath material thickness)
360 - 385°F (182 - 196°C) for 0.060” to 0.125” (1.5mm to 3.2mm).
thickness used for heavier-duty sheaths
(edit to add) In retrospect, those kydex temps look too high, since I recall some sheathmakers talking about having their ovens set in the 200 degrees F range. Maybe those are the temps the Kleerdex folks recommend having the *heating oven* set to heat the material. I may have to contact the mfr about that TB-116 info.