Yes they get toasty, just from resistive losses. If there is a ferrite inside with a high loss any power dissipated in it will be done as heat, and in the middle of the windings where it is least able to dissipate. Thus you get crispy, and remember standard PVC melts at just over 100C, unlike enamelled copper where it can handle typically 150C with ease, and it is a lot thinner so transmits heat better out to the outer layers.