Which ones? I do only fly PT6's, but I have never heard of any requiring a cool-down. Now on turbo-charged piston engines, absolutely, but never have heard of a cool-down prior shut-down.

I do know on the TPE331's you should run the prop through after shut-down to run some cool air through the system, plus rotating the shaft to keep it from warping, but that's about all I know of those specific engines.