Themal explansion is just what it means, expansion from heat. If you heat a rusty nut on a bolt to get it loose, the reason the heat helped was because you thermally expanded the nut. Think about that. The hole in the nut grew because of thermal expansion, it did not shrink.

If you heat the engine, you are heating the hole she-bang and not just individual components. Heating all the components will cause all the components to expand. There are different thermal expansion factors for each type of material you heat. Maybe the aluminum piston is expanding more than the sleeve when you are applying heat because it thermally expands sooner than the sleeve? Maybe the piston starts to expand at a lower temperture than the sleeve.

In 2 stroke snowmobile engines, a common problem is cold siesing. This happens when a guy fires up the sled and hammers on it imeadiatly. The pistons expand faster than the sleeves to a point in which they get stuck in the sleeves. If you are easy on the machine when it's cold, it will warm up slowly giving the sleevs a chance to heat up and expand enough to allow an allowable clearance.