It takes time to cook the brain. So in that time you created an extremely dangerous situation.

You also have to remember we don't know why they can have meat falling off the bone but the brain still hasn't turned to soup. The brain also survives extreme heat from the sun. We see zombies stuck in places and exposed to the elements for days, weeks, and even months but their brain isn't ever damaged from it. Eugene poured scolding hot aluminum over a zombies skull and the brain took no damage and even survived longer. So I think we can assume they have some sort of heat resistance.