1) Maybe they don't understand your Thai, so they just agree with you and say yes. Keep it as simple as possible"Ron Mai"? or "Aow Ron krap" pointing at the grill. They are usually willing to reheat grilled items. Hold your hand over it to check if it is hot. Don't pay for it until you're sure it's hot/warm. If cold in the bag hand it back.
2) They will say anything to make a sale.
3) or as someone else has said they probably just don't care.