Whilst generally the caution is for the electronics associated with electric locos, it could be the motors depending on the sort of motor and the pwm frequency.
When you burn energy you generate heat.
In the case of Linear filtered DC, that heat is generated at the output transistor and requires heat sinking.
In the case of PWM the heat is generated in the motors.
It is best that for regular iron cored motors that the motor is open to the air for cooling purposes. Most LGB motors are sealed in plastic boxes.
AristoCraft, USAT and some Bachmann motors have air vents in the motor blocks.
So called core-less instrument motors cannot dissipate the heat as well as iron cored motors.
According Faulharber it is OK to use pwm with coreless motors provided the PWM frequency is over 5 KHz.
Then you have “Pulse” power which is different from PWM.
Pulse power usually means injecting some AC onto the DC voltage to improve low speed control. This can possibly cause irreparable damage to pretty well any sort of DC motor.