There are two things to consider here. The first, when you run an extension cord from the wall to the other plug, you're creating another connection, another place for a short to occur. Most of those connections are laying on the floor (carpet or rugs are the absolute worst, and please never, ever put a rug over the top of a cord). Their location on the floor gives dust, dander, or dirt an easier route to enter the connection. Your standard appliance plus are mostly attached to a wall outlet a foot or so off the floor which prevents most of this from occurring.
The second is the insulation of the cords. If you cut apart an appliance cord with a 3 prong grounded plug, it's larger wire and better insulated than light and medium duty extension cords. The rating of the cord has to match the pull from the appliance. If you are running an appliance that draws more power than the extension cord is designed to carry, that excess power creates heat. I've got to run to a meeting, but I'll try to find a couple cross sections to show when I return.
