This is the first that I have heard of heat treated wooden pallets, but it makes sense when you think about all the materials that are transported from country to country.
I am very familiar with working with pallets, as we use them in our business. We raise honeybees and transport them every year to California for almond pollination.
The easiest way to do this is to have 4 beehives all on one pallet. It is much easier to move a pallet of bees with a skid loader than trying to move everyone of them by hand.
For our purposes, heat treated pallets wouldn't be necessary, except you would have less chance of the wood rotting over time.
I am sure that using heat treated pallets is more expensive than not treating the wood, but for those exporting products over seas, it would be beneficial in the long run, and would be required in some instances.