I bet they have beefy air to oil coolers as well. Still, I'm surprised that the engine can take any sustained load without water as there would be no cooling around the cylinders.
The inner part of the engine and outer parts, running coolant would even out the temperatures but without coolant some parts will become much hotter than others and could warp or create stresses that the engine was not designed for. I assume these people know something that I don't and I guess diesel engines can be quite forgiving.