It puzzles me, too.
I can see the case for components like sparking-plugs and injector-pump plungers, but not for a lathe chuck that fits normally when both it and machine are at the same temperature.
Does the high-tensile steel of the mandrel have a different coefiicient of expansion to the cast-iron chuck backplate? If so, is the difference so great that the sort of temperature difference here will be significant? Even given that the temperature of the sun-bathing chuck will be higher than that of the air around it.
How can a chuck that fits normally, manage to shrink below the register diameter, as would be implied?
Once the two masses of metal have equalised the fit should be as normal – but screw-on chucks do have a habit of jamming themselves onto the spindle as if by some Law of Physics yet to be established.
What I could understand perhaps, is the mandrel expanding slightly in the much cooler chuck, as heavy use warms the bearings and mandrel. Even then, once both have rested and settled at the same temperature, the chuck should still unscrew – but it likely won’t due to the cutting forces having tightened it. (One reason I dislike interrupted cuts.)