Not necessarily. If the amount of power required on peaks at that volume control setting was still within the reduced capacity at the lower impedance setting, then there would be no audible distortion(at least not any due to the amplifier); if the required power exceeded the reduced capacity, audible distortion would develop. This wouldn't occur, or at least wouldn't occur until a still higher amount of power was required, with the 8 0hm setting for the impedance switch or menu.
For example, S&V often tests for the reduction in capacity at the lower setting, and their
lab test of the 661(they haven't tested the similar 663)showed that the power was limited to a little over 60 watts at the lower setting. A peak that required say 120 watts would distort at the lower inpedance setting but would be handled well at the 8 ohm setting. The numbers and analysis there may be of interest.
As to heat, don't worry much unless you see smoke and flames(seriously, the protective circuits would shut down before that). High heat may reduce the long-term service life of the unit, but shouldn't be a cause for major concern if operation continues.
