I've heard this before many years ago. I've run open headers in the dead of Michigan winter when working on a car in the shop, ran it outside, and have never had a problem. I suppose in theory it can happen, but I would think the temperature change would have to be so quick and so severe I just don't see it happening traveling all the way up the header to the valve and not warming up before it gets there, iron and aluminum heads hold heat for a long time, while the headers are thin and cool quickly the will still draw heat from the heads at the primary flanges.
All the aircraft piston engine I've worked on either had mufflers or in the case of the Jacobs or Pratt radials had exhaust rings that the cylinders dumped the exhaust gases into. The cylinders at the bottom of the radial engines had the least amount of run before exiting the exhaust pipes and I have never heard of problems particular to those cylinders regarding exhaust valves cracking or warping. Differential compressions tests would show these problems and I haven't experienced any, but then I've been away from pistons and working on jets for the last 20 years.
Yes you will get ticketed, your neighbors will call the police and with Murfy's Law for your name, if it can happen it will!
[This message has been edited by SY1 (edited 06-15-2002).]