When does Sienna start taking damage?

Solution 1:

Sienna will only take damage from venting heat (reload button) she has build up. The bar is split in 3 zones, gray, orange and red. When venting in the gray you won't take any damage. When venting in the orange and red you take some damage.

When the bar is totally full you'll explode in a blaze and incapacitate yourself.