Never depend on color alone for a critical interface component.
- Many people, perhaps upwards of 1 in 10, have some form of color-blindness that limits their perception of certain colors.
- Staring at colors can lead to our eyes/brains inverting colors, where you literally see a totally different color. Green become red, yellow becomes blue. Early astronauts experienced this and NASA learned to avoid depending on color alone as an indicator.
As shown in other answers, your color should only supplement or highlight the message being delivered by some other mechanism (text message, shape of widget, size of widget, trim/chrome around widget, and so on).
Do not combine multiple messages when of critical importance.
If there is any disconnect between
ON and being
HOT, make those separate messages. Your Question was not exactly clear about this. If, as with a stove, turning on does not immediately mean hot, and turning off does not mean immediately cool, then use a separate indicator. We see this on modern electronic stoves where one indicator is lit when power is being sent to a burner while a separate indicator indicates when the burner is hot. The heat indicator comes on later, and turns off later, than the power indicator.
In this picture notice the front panel indicates at least on burner is currently powered, while the four surface indicators indicate hot-to-touch status of each burner. The glass top surface retains heat, thus the separate indicator.
If there is no disconnect power & heat, if ON always means HOT and OFF always means COLD, and your color definitions are clearly imprinted on your users, then choose which aspect is more critical and use that color. If the surface is mildly warm to the touch but may result in death from electrocution at 400 volts, the ON message is more important than temperature so use the ON-color.
If color definitions are not imprinted on your users, then your choice of color does not seem important to me. I would use any color, perhaps focusing your attention more on brightness/attention-grabbing (ON/HOT) versus dimness/blandness (OFF/COOL) rather than worrying about particular colors.