Ammo explosions damage pilots through neurohelmet feedback rather than direct injury, as discussed on page 125 of the tenth printing of Total Warfare.
While a unit is shut down, does neurohelmet feedback still occur? I see no rule saying it doesn't, though logically the neurohelmet is not functioning at that point.
Since heat effects are resolved simultaneously, a heat-induced ammo explosion in the same phase as a heat-induced shutdown would not be affected by this. I'm specifically referring to explosions that occur after that point, whether from continued heat effects, weapons fire, or any other potential cause.