I did some Googling and I think they may have been over generalizing all of the available hemostatic agents out there into the types like Quikclot which generate heat and are more invasive than Celox.
"Cauterizing" sounds more like a warning about exothermic products like QuikClot or TraumaDex. Inhalation is also a signficant worry with those two products when applied as loose powder. Even application on a sucking chest wound is not advised.
I'm not aware of any particular risk with Celox. I don't have any of them, but if I did carry one of these types of products, I would pick Celox. It seems to be the most benign product that still works as advertised.