I forgot to answer your question about thermal protection.
Based on the datasheets, there is no evidence of thermal protection built-in to SigmaDSPs.
However, the new ADAU1452 has an integrated thermal diode. You can read the temperature using an external IC and then have a microcontroller trigger some kind of an event if the temperature exceeds a threshold. Pretty cool!
The class D amplifier products from ADI tend to have thermal sensing and diagnostics built-in, but that's pretty understandable, since they can dissipate quite a lot of power. SigmaDSPs are low power in comparison, so I guess that's why thermal monitoring isn't included.