I’d say they definitely do, unless it’s some kind of fantasy light that doesn’t emit any heat. Baseball bat mode is just self-censorship or vfx budgetary issue.
There is always a way to explain what appears on screen, even if it’s a stupid explanation. So lightsabers are made of light rays that not only have a finite distance but also only enact their physical properties once they are impeded by significant mass. Baseball Bat Mode was perhaps a special setting Luke chose the morning before he stuck the handle into his trusty droid. Truly a creative choice for George or Luke (or the MPAA) and I’m going by what’s on screen. Awaiting the fanedit where all the thugs get SLICED!