An interesting question. Steel has a linear expansion coefficient of around .000012"/" - ºC. For a six inch micrometer, if you were able to raise the frame temperature by 5ºC (9ºF), the expansion would be .00036". In practice, I expect that the temperature change caused by holding the micrometer would be no more than a degree or so, if that.
My micrometer set has the insulated grips but I measured my 5" standard and then gripped the micrometer by the uninsulated parts of the frame for about a minute. I could detect no significant change in the reading. (within .0001")