When a junction melts, it is often the case that the connection itself will become much more resistive, which will make it heat up more and more. For an application where the PSU might be able to supply hundreds of Watts, it's much easier for things to get very hot and ignite.

This is despite the use of a good conductor.

And the issue is that when the power source is that much more powerful you're more likely to make whatever is nearby catch fire.