I think it’s a very real possibility if flat pitch. Once I was flying in the H269 coming off a mountain range at about 8000ft AGL and decided to give my student a simulated engine failure. It was very cold and on the way down I looked at the CHT to find it had plummeted. It was a long time ago since I’ve flown pistons but it had dropped from high green to 30 deg very quickly.
I very gingerly reintroduced power to slowly increase the temperature and was concerned about cracking the cylinder head.
After that when performing the same exercise which wasn’t often I’d watch the CHT and reintroduce partial power to reduce the rate of temperature drop before removing again and also to reduce the increase in temp at the bottom when you rapidly applied full power.
If I recall correctly it was also a danger in fixed wings with the same lycoming engines and rolling to idle from high power settings.
That exercise was for a practise Auto and shouldn’t be used for a normal approach. If say you have some power say 3 inches Manifold pressure above idle I think it would not be a factor at all. In the auto the fuel is only a trickle to keep the engine turning over whereas in flight even at low power settings you are burning quite a lot to drive to rotor system so are introducing enough heat that thermal shock should not be an issue.