When exiting then relaunching the game, any cooled blades/hammer heads will turn into heated on startup.
Yep, others (including myself) have reported the same issue. It's likely that "heated" is the default state for blades/hammer heads, and that the cooled state is not saved with the game data. Then you reload the game and they all return to the default state. I'm sure the dev's aware of the issue and is working on a patch. Happy smithing!