Note that, before the launch of The African Kingdoms, it was highly dangerous to enter a building's firing range not only for ships, but also for Camel Riders and Mamelukes, as they took bonus damage from anti-ship attacks. Since The African Kingdoms, however, that has been changed as camel-type units were moved out of the ship armor class.
Further note that buildings exclusive to the scenario editor also benefit from this technology, with the Poenari Castle and the Fortress being treated like Castles and Kreposts (i.e. receiving an additional +4 attack bonus) and The Accursed Tower, The Tower of Flies as well as Fortified Towers, Sea Towers and Fire Towers being treated like towers (i.e. receiving an additional +125% attack bonus). For the latter, the effect seems to be slightly stronger (around 260% instead of 225%), likely due to rounding errors stemming from the Fire Tower's unusual attack rate.
Chinese: Heated Shot is 15%/20% cheaper in the Castle/Imperial Age.
Neither of the two civilizations introduced in Dawn of the Dukes have access to Heated Shot.
Coastal gunners who engaged ships learned to heat their cannonballs in furnaces until they were red hot. If a heated shot lodged in the woodwork of a sailing ship, it could set the ship afire. The wadding in the barrel of the gun had to be sufficiently thick to not burn away before the cannon could be fired. If the shot burned through the wadding too quickly, the gun could go off before being properly aimed. In such a case the gun might explode rather than fire. Heated shot that plunged through decks was especially dangerous. It could lodge deep in the ship where the crew could not reach it with water before fire had taken hold. If fire reached the powder magazine, the ship would explode.