No it's not. Oh some of it is scattering outside the direct path to the target, but if any signifigent amount were heating the air it would cause the laser to "bloom". That's part of the reason they need high power, but short pulses for SDI work. But even then, only a very small fraction of the laser energy goes to heating the air, although it's enough to disrupt the path. The short pulse gets through before the atmosphere has time to react to being heated.
The thermal lensing aka blooming problem is likely a tractable problem using adaptive optics.
Or get'em in space where there is no atmosphere.