I've never heard of anyone trying it with osage. Osage is denser already. It is also more susceptible to getting drying cracks than whitewoods. Osage also doesn't like to be bending at extremely low moisture content, as it becomes brittle in tension.
I don't know the scientific reason that makes the heat treatment improve whitewoods. I'm guessing it could be something like the air still in the wood cells, and vessels is heated out, the empty spaces shrink, and compress the wood, leaving more lignum for the same dimensions??? Or it could be some other sort of chemical reaction?
Denser wood species, possibly don't have as much air trapped in the cells and vessels, so there is less opportunity to compress, and therefore not as much change for improvement to occur.
Pure speculation on my part. Hopefully someone with the correct knowledge will chime in soon.