The reality is it probably does create more heat. Assuming for arguments sake that a Stage 1 tune is maximizing performance (on 93oct) with a reasonable margin of safety for the parts and that power is not being limited by flow on either end (intake or DP/exhaust), the only way to increase performance is to tune it more aggressively (higher boost, advanced timing). This will create more heat in the cylinder (so higher risk of knock/pre-ignition) and the CAT/exhaust, and increase stress on the turbo. If the tune doesn't dial everything back when temps climb, all of this will reduce your margin of safety on the parts, increasing risk of failure. The tune can pull boost and timing if temps get too high, but then you won't see the full benefit of the tune on a stock car. You can get back the margin of safety and the potential to take advantage of the higher end tune through cooling (i.e. FMIC) or adding parts that are equipped to deal with the heat and stress (i.e. DP).
I don't think Cobb or anyone else is arguing that a DP alone is going to increase performance much on a Stock or Stage 1 tune. What they are implicitly saying is that it is not safe to run their Stage 3 tune without a DP that can handle the temps it is capable of producing. In reality, you would probably see a similar performance increase from a Stage 3 tune on a car with a stock DP as one with a Cobb or other aftermarket DP. In fact, I imagine Adam's Stage 1-2 tunes may be equally or even more aggressive than Cobb's Stage 3 tune and you may see a stock car on his tune outperform a Stage 3 car on Cobb's tune. This is probably why he is not able to get anything more out of a DP, because the tune is already maxing out the capability of the turbo. The question is how much increased stress is a tune like that putting on the stock CAT (and possibly the turbo) and how much do you care about that? Nobody is going to tell you this, and probably nobody really knows for sure. Clearly a lot of people have concluded that the risk is worth it for the performance, and that's fine. At the end of the day, the worst that happens is you melt your CAT and buy a new DP, but if the stock one holds up, you saved yourself some money.