It certainly happens.
I developed an automated firmware test for radios that are used in industrial data networks and used a relay bank for controlling aspects of the test. One of the relays failed closed (current flowing), and it caused a high power resistor to get a little warmer than it was supposed to.
The whole building stunk of melted plastic and scorched OSB for a few weeks...
I've done a lot of building, goofing around, etc with Arduino's, Raspberry Pi's, and Beaglebones and I contemplated using one for this. The problem is PID's are too cheap and they handle heat control better, and more simply than trying to do it myself. PID's are purpose built to run heating elements like this, or my Lee Lead Casting Pot, and maintain stable temps. Their "fuzzy" logic works wonders on hitting and maintaining temps.