Dark elves aren't immune to fire, just resistant. I am quite sure if one was buried in coals they would burn to death. And I imagine, though its lore friendly, that it veers more towards being more of a game mechanic than anything else just to separate the races more. Mechanics stripped aside, i'm sure any dunmer could perhaps put out a match or snuff out a candle with their finger tips easily enough, where as an altmer perhaps would avoid such a thing altogether. Or perhaps sit closer to a fire than other races without being turned away by the heat, but laying in a bed of coals for a pleasent and comfortable experience? Nope.
We shall have to agree to disagree, as I 'aint buying it :P But as you said, im not trying to argue either (though that's kind of a lie, but I would rather call it a healthy discourse, or a discussion)
As for bringing in natural selection into the equation, i'm pretty sure that should be left at the door and chalk it up to fantasy "magic did it" There are lots of volcanoes around the world, yet I don't think we have found many, if any, plants and animals that have been living near them all this time to be very resistant to fire. Maybe more tolerant to heat and able to adapt, but im sure we will find they hate fire just as much as the next thing :P
And since we are on the topic of a bed of coals being a kind form of relaxation thing......I think it would be the opposite, as I find most cultures look to the opposite temperatures/environments of their homelands for comfort. Desert faring folk look to cool waters, shade and a nice breeze, where as people of colder climates look to warm up by fires and in saunas. After living by volcanoes and rivers of lava, being covered in ash on a regular basis (and other regions of morrowind seeming to be on the swampy and humid causing one to be both hot and sweaty) i'd be looking for a cool cloth and a cold shower before I started looking to get even hotter myself :P
I will reiterate what I said: I believe a dunmer would be more resistant and tolerant to heat and fire (much like a welder or a blacksmith might be used to being hit with sparks and bits of hot metal hitting them and being next to a forge all day) I'd say if one were to reasonably roleplay an average dunmer and lets say a great strong orc laying on a bed of coals in a contest of fortitude, I'd give the dunmer MAYBE 5 more seconds longer than the big tough battle hardened orc having a high pain tolerance and no natural resistance to fire.
I am by no means not telling you to not RP what you think if you do not want to, i'm just giving my two cents. I'm just saying if I were to encounter that in an RP, i'd be calling BS on that without direct magical assistance :P