They perfectly know what they are
From the conversation between Tyrell and Decker about Rachael:
-Well, we began to notice in them a strange obsession. [...] After all, they are emotionally inexperienced with only a few years in which to store up the experiences which you and I take for granted. If we gift them with a past... we create a cushion or pillow for their emotions.. and we can control them better.
- They want memories? (source)
Since Rachael is an experimental model, you can assume that the older models don't have any memories other than those they created from the moment of their initiation. Ergo they don't really need to fool themselves that they are human or expect to be treated as one if being treated as a machine is all they know.
Also if you follow such examples as given by movies such as "Soldier" (which some people believe happens in the same world as "Blade Runner" due to the "Tannhauser gate" comment) soldiers like Batty are between missions simply confined to barracks having absolute minimal contact with humans.
Now all those above is true to combat/work/pleasure models (Roy/Leon/Priss) that don't really need to create complicated relationships with humans.
Now, in case of more complicated models as Rachael (and Deckard - if you believe he was a replicant) that indeed believe they are human the answer is simple: they wouldn't try to stick hand to boiling water in the first place and in case they would indeed get burned (and didn't notice expected blisters) they would probably brush it off as luck, natural toughness... and before they start getting really suspicious, the pre-programmed life span would kick in solving the issue.