I picked up an old frame repair book by Bear Equipment, a while ago. In describing the installation of rivets, it said to put the rivet in place, heat the shank and then form it. I always thought that they were dropped in already glowing.
If you had asked me, I would have said the same thing. But thinking about it, you can get a tighter fit that way. A half inch bolt might expand .003-005" going from cold to glowing, if it was almost a press fit cold, this would help lock it in I suppose.