And if a municipality underprotects against heat? What happens?

People die of heat stroke, that's what happens. And the municipality maybe changes the law, but only after someone dies.

Protections in this situation are at the federal and state level because the consequences of doing them wrong are much more than just "suffering economically."

And because worker deaths aren't always a strong enough motivator at the local level. Frankly, not every town cares about their migrant workers and other working class folks, especially if labor is divided along racial and/or class lines.