By design, shock absorbers generally squeeze oil through a restricted opening. This action, and the piston rising and falling will generate some heat…… on the car I’m road racing this past few years shock reservoirs contain chambers of pressurized nitrogen and oil. The reservoirs are mounted remotely, inside the car to keep them cool. Leaving them close to overheated brakes, discs and tires doesn’t make sense.
On our under stressed road machines, remote or finned components are strictly for the “looking cool factor”!