In Dom2, I think the extra fire damage (6AP?) from Fire Arrows hurt heat immune creatures such as Devils. Does anyone know if that is still the case in Dom3?
No, and if the mechanics were the same as they were in Dom2, it didn't hurt them in that one either unless one of the weapons is bugged.
The various fire arrows and crossbows are different from their ordinary versions in the following ways:
1) They are magical where the normal versions are not
2) When they hit, the target takes normal missile damage for the type AND suffers a hit from weapon 216 (Fire), which causes 8 ap fire damage and which therefore does not affect fire immune units such as devils and Abysians at all.