I've had no trouble with mine thus far, and when I first started I really tortured a couple cheap kitchen knives to see if I could see any difference. Hardly a scientific test, I know, but I couldn't spot any changes from sharpening on the EP to sharpening on the belt as far as that went. I also run a Kalamazoo, which runs a LOT slower than the HF, which might make a difference... Never heard of any trouble unless you didn't cool the knife every pass or so.
My method for keeping heat build-up down is to pinch the edge of the blade firmly the INSTANT it comes off the belt. If I can feel warmth in my fingertips, I dip it. The only blades I've ever had trouble with are some of the newer Kershaws, that have that hair-fine needle point. The heat builds up there SO quickly if you're not extremely careful.