I don't think it's about training, wood has very poor thermal conductivity, touching a hot piece of wood is less dangerous than touching a hot piece of metal at the same temperature because heat will transfer slower so maybe it's because of that? don't know if the thermal conductivity of coal is also low enough to allow you to grab a hot piece of coal without burning yourself

I've remembered something I read in a thermodynamics book, the way humans perceive how hot an object is is dependent mostly on its thermal conductivity, if you touch piece of metal in a hot summer day then it will feel "hotter" than touching a wall, despite the fact that both the wall and metal are at the same temperature, it is the rate of heat transfer that matters here, also this reminds me of this video
https://www.youtube.com/watch?v=vqDbMEdLiCs