I've seen one come close to flames, but it wasn't because of a resistor change. A legacy steamer with a 6 ohm resistor had a smoke regulator failure. The failure put 18 volts of track power right across a 6 ohm resistor. It started smoking "real good" as it entered a long tunnel. By the time it came out, the resultant smoke screen was something to behold! If it hadn't killed the smoke resistor after a few more seconds, we might have had flames.
That one needed a smoke unit PCB and the smoke regulator. The smoke output now is much more pedestrian, nothing like the impressive but brief display. It still smells a bit like burned fiberglass...