Because the valve was sturdier than the keg.
I guess heating them is rather different
Heating is rather different, because it causes a rupture by greatly increasing the pressure in the keg (it also weakens the metal somewhat). Shooting simply makes a hole. A heated container has a great deal more energy to dissipate.
What I meant to ask is whether that's standard.
A safety valve would have been nice.... But then, placing a keg in a fire really is "non-standard" as well.