They will not go as far as explode but if the rough is cracked they will simply burst into pieces. Corundum needs one of the highest temperatures for heat treatment (that is, 1200 deg. Celsius and above). To lighten the color the heat should be performed in oxygen-containing atmosphere (reduction owens or apparented media enhance darkness whilst oxydizing produces the opposite). Heating at around 1250 celsius degr for some hours will presumably reduce some structural defects whilst adding limited color improvement; to improve color you should reach 1600-1630 degr (corundum starts to melt around 1640). An obvious difficulty: such temperatures are impossible to attain in regular kilns.
Imo you should try a 6 h heating at 1250 degr with a small piece and see if it improves with something the stone. That, if you want to afford "trial and error" methods.