Last year I used direct heat (blow dry +flat iron) once a week, sometimes more! Never had any retention problems, dryness or shedding. I measured my hair and took pics and my hair grew at a normal rate. And I have thin fragile hair too.
I stopped because I joined a gym and working out 3x a week messed with my press. I wish I could work out without my hair looking like a HAM cause I really miss my straight hair, and it takes too long to straighten more than once a week. My natural hair is at that awkward length where no matter how I style it it looks not too good.
Anyway, as long as you protect your hair and deep condition I really see no problem.