Well, yes and no.
The calipers will retain more heat, but in a smaller surface area. With disk brakes, the parts that generate heat, the rotors and pads (upon release of pedal pressure) are exposed and that allows the rotors/pads to cool in open air. Once the rear brakes are applied and the drum and shoes get hot, the outer drums are the only area exposed to the air to cool down. That is why a lot of rear drums have fins, to aid in the cooling.
Many have done it and had no problems. My front calipers are painted red, but my rear aluminum drums are not, for the reasons stated above. JMHO.