I think this is an urban legend.
Current romex insulation is good to 90 degrees C (194 degrees F).
That temperature will melt vinyl siding, and blister paint, but 1/2" plywood will keep the temperature inside the house at ambiant until the plywood burns thru. Brick or stone exterior will also protect the interior.
If you have exposed metal conduit or exterior recepts, I expect there will be damage at those locations.
