Think about the expansion rate of air, OK now think about the expansion of water. To get the dent out you have to get the area hot enough to make the metal pliable, and in doing so the water gets hot enough to boil at the are being heated, turning to steam and since you have no room to expand because of the water the pressure rises rapidly. I thought this was a good idea as well, if there was a rupture it would be hydralic rather than pressure leak. I think there is the poetential for failure using air as well, I haven't had a problem.
I have heard of water being used, but rather than heat the pipe is put in the freezer, when the water freezes it expands and pops out the dent.